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math.OC2017
Gradient Flows in Filtering and Fisher-Rao Geometry
Abhishek Halder, Tryphon T. Georgiou
Uncertainty propagation and filtering can be interpreted as gradient flows with respect to suitable metrics in the infinite dimensional manifold of probability density functions. S…
math.OC2017★ 2 cited
Gradient Flows in Uncertainty Propagation and Filtering of Linear Gaussian Systems
Abhishek Halder, Tryphon T. Georgiou
The purpose of this work is mostly expository and aims to elucidate the Jordan-Kinderlehrer-Otto (JKO) scheme for uncertainty propagation, and a variant, the Laugesen-Mehta-Meyn-Ra…