An optimal control derivation of nonlinear smoothing equations

DOI10.1007/978-3-030-51264-4_12MaRDI QIDQ5131685zbMATH OpenOpenAlexFDO

Authors Jin-Won Kim, Prashant G. Mehta

Publication date 9 November 2020

Published in Advances in Dynamics, Optimization and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.01710

zbMATH Keywords

Bayesian inferencedualityMarkov processesnonlinear filteringoptimal controlstochastic smoothing

Mathematics Subject Classification ID

PDEs in connection with mean field game theory (35Q89) Optimality conditions for problems involving partial differential equations (49K20) Mean field games and control (49N80) Optimal transportation (49Q22) Probability distributions: general theory (60E05) Continuous-time Markov processes on general state spaces (60J25) Mean field games (aspects of game theory) (91A16)

Abstract: The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been an active area of recent research interest owing to work in mean-field games and optimal transportation theory. The nonlinear smoothing problem is considered here for continuous-time Markov processes. The observation process is modeled as a nonlinear function of a hidden state with an additive Gaussian measurement noise. A variational formulation is described based upon the relative entropy formula introduced by Newton and Mitter. The resulting optimal control problem is formulated on the space of probability distributions. The Hamilton's equation of the optimal control are related to the Zakai equation of nonlinear smoothing via the log transformation. The overall procedure is shown to generalize the classical Mortensen's minimum energy estimator for the linear Gaussian problem.

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Cited in

(5)

• Smoothing evolution equations and boundary control theory
• Controlled interacting particle algorithms for simulation-based reinforcement learning
• Smoothing approach for a class of nonsmooth optimal control problems
• An optimal control approach to particle filtering
• Guided smoothing and control for diffusion processes

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