4 papers · 1 filter
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…
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 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…