13 citations · 18 across the 12 of their papers we have counts for
18 papers
Arrow of Time in Estimation and Control: Duality Theory Beyond the Linear Gaussian Model
Jin Won Kim, Prashant G. Mehta
Duality between estimation and control is a foundational concept in Control Theory. Most students learn about the elementary duality -- between observability and controllability --…
Backward Map for Filter Stability Analysis
Jin Won Kim, Anant A. Joshi, Prashant G. Mehta
In this paper, a backward map is introduced for the purposes of analysis of the nonlinear (stochastic) filter stability. The backward map is important because the filter-stability…
Divergence metrics in the study of Markov and hidden Markov processes
Jin Won Kim, Amirhossein Taghvaei, Prashant G. Mehta
This paper is divided into two parts. The first part reviews the formulae for f-divergences in the study of continuous-time Markov processes and explores their applications in area…
Variance Decay Property for Filter Stability
Jin Won Kim, Prashant G. Mehta
This paper is concerned with the problem of nonlinear (stochastic) filter stability of a hidden Markov model (HMM) with white noise observations. A contribution is the variance dec…
On forward-backward SDE approaches to continuous-time minimum variance estimation
Jin Won Kim, Sebastian Reich
The work of Kalman and Bucy has established a duality between filtering and optimal estimation in the context of time-continuous linear systems. This duality has recently been exte…
Duality for Nonlinear Filtering II: Optimal Control
Jin Won Kim, Prashant G. Mehta
This paper is concerned with the development and use of duality theory for a nonlinear filtering model with white noise observations. The main contribution of this paper is to intr…
Duality for Nonlinear Filtering I: Observability
Jin Won Kim, Prashant G. Mehta
This paper is concerned with the development and use of duality theory for a hidden Markov model (HMM) with white noise observations. The main contribution of this work is to intro…
Duality for nonlinear filtering
Jin Won Kim
This thesis is concerned with the stochastic filtering problem for a hidden Markov model (HMM) with the white noise observation model. For this filtering problem, we make three typ…
How does a Rational Agent Act in an Epidemic?
S. Yagiz Olmez, Shubham Aggarwal, Jin Won Kim +4
Evolution of disease in a large population is a function of the top-down policy measures from a centralized planner, as well as the self-interested decisions (to be socially active…
Modeling Presymptomatic Spread in Epidemics via Mean-Field Games
S. Yagiz Olmez, Shubham Aggarwal, Jin Won Kim +4
This paper is concerned with developing mean-field game models for the evolution of epidemics. Specifically, an agent's decision -- to be socially active in the midst of an epidemi…
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…
An Optimal Control Derivation of Nonlinear Smoothing Equations
Jin W. Kim, Prashant G. Mehta
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…
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…
An Approach to Duality in Nonlinear Filtering
Jin W. Kim, Amirhossein Taghvaei, Prashant G. Mehta +1
This paper revisits the question of duality between minimum variance estimation and optimal control first described for the linear Gaussian case in the celebrated paper of Kalman a…