7 papers
A Dynamic Programming Formulation for the Nonlinear Filter
Jin Won Kim, Prashant G. Mehta
This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is…
A Dual Characterization of the Stability of the Wonham Filter
Jin Won Kim, Prashant G. Mehta
This paper revisits the classical question of the stability of the nonlinear Wonham filter. The novel contributions of this paper are two-fold: (i) definition of the stabilizabilit…
The Conditional Poincaré Inequality for Filter Stability
Jin Won Kim, Prashant G. Mehta, Sean Meyn
This paper is concerned with the problem of nonlinear filter stability of ergodic Markov processes. The main contribution is the conditional Poincaré inequality (PI), which is show…
Feedback Particle Filter for Collective Inference
Jin Won Kim, Amirhossein Taghvaei, Yongxin Chen +1
The purpose of this paper is to describe the feedback particle filter algorithm for problems where there are a large number () of non-interacting agents (targets) with a large n…
A Dual Characterization of Observability for Stochastic Systems
Jin W. Kim, Prashant G. Mehta
This paper is concerned with a characterization of the observability for a continuous-time hidden Markov model where the state evolves as a general continuous-time Markov process a…
What is the Lagrangian for Nonlinear Filtering?
Jin W. Kim, Prashant G. Mehta, Sean P. Meyn
Duality between estimation and optimal control is a problem of rich historical significance. The first duality principle appears in the seminal paper of Kalman-Bucy, where the prob…