Particle interpretation of nonlinear filtering and optimization (Q1267429)
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scientific article; zbMATH DE number 1208162
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| English | Particle interpretation of nonlinear filtering and optimization |
scientific article; zbMATH DE number 1208162 |
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Particle interpretation of nonlinear filtering and optimization (English)
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7 April 1999
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The authors introduce some transformations between performance and probability measures which make clear the relationships between optimization and estimation problems. They show that particle algorithms developed for nonlinear filtering can be used to solve deterministic optimization problems.
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optimization
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nonlinear filtering
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Monte Carlo methods
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particle algorithms
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