Particle interpretation of nonlinear filtering and optimization

MaRDI QIDQ1267429zbMATH OpenFDO

Authors G. Salut, Pierre Del Moral

Publication date 7 April 1999

Published in Russian Journal of Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodsnonlinear filteringoptimizationparticle algorithms

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical optimization and variational techniques (65K10) Transformations (93B17) Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11)

Review text

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.

Cited in

(3)

• Stochastic global optimization as a filtering problem
• An optimal control approach to particle filtering
• Integer linear programming formulations of the filter partitioning minimization problem

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