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)

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Cites Work

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• Feedback Particle Filter