Poisson's Equation in Nonlinear Filtering

DOI10.1137/13094743XzbMath1319.35010arXiv1412.5845OpenAlexW2571463739MaRDI QIDQ5252489

Prashant G. Mehta, Maxim Raginsky, Richard Snyder Laugesen, Sean P. Meyn

Publication date: 2 June 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.5845

zbMATH Keywords

nonlinear filtersPoisson's equationKullback-Leibler divergenceparticle filterssteepest descemt

Mathematics Subject Classification ID

Variational methods applied to PDEs (35A15) Signal detection and filtering (aspects of stochastic processes) (60G35) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05)

Related Items (10)

Multivariable feedback particle filter ⋮ Geometric ergodicity in a weighted Sobolev space ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler ⋮ Diffusion Map-based Algorithm for Gain Function Approximation in the Feedback Particle Filter ⋮ McKean--Vlasov SDEs in Nonlinear Filtering ⋮ Data assimilation: The Schrödinger perspective ⋮ Feedback particle filter for collective inference ⋮ Analysis of the feedback particle filter with diffusion map based approximation of the gain ⋮ Controlled interacting particle algorithms for simulation-based reinforcement learning

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A simple proof of the Poincaré inequality for a large class of probability measures
• A Liapounov bound for solutions of the Poisson equation
• Markov Chains and Stochastic Stability
• The Variational Formulation of the Fokker--Planck Equation
• A Variational Approach to Nonlinear Estimation
• Feedback Particle Filter

This page was built for publication: Poisson's Equation in Nonlinear Filtering