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math.OC2023★ 7 cited
A Score-based Nonlinear Filter for Data Assimilation
Feng Bao, Zezhong Zhang, Guannan Zhang
We introduce a score-based generative sampling method for solving the nonlinear filtering problem with robust accuracy. A major drawback of existing nonlinear filtering methods, e.…
math.OC2021
Meshfree Approximation for Stochastic Optimal Control Problems
Hui Sun, Feng Bao
In this work, we study the gradient projection method for solving a class of stochastic control problems by using a mesh free approximation approach to implement spatial dimension…
math.OC2020
An efficient numerical algorithm for solving data driven feedback control problems
Richard Archibald, Feng Bao, Jiongmin Yong +1
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an Itô type stochastic differential equatio…