4 papers
Well-posedness of Filtering Equations in Weighted Sobolev Spaces with Unbounded System Coefficients
Zeju Sun, Songlin Zhou, Stephen S. -T. Yau
Nonlinear filtering problem is one of the core subjects in modern control theory. In this paper, we will study the well-posedness of the three fundamental evolution equations arisi…
Natural Gradient Bayesian Filtering: Geometry-Aware Filter for Dynamical Systems
Chang Liu, Wenhan Cao, Zeju Sun +8
Bayesian filtering is a cornerstone of state estimation in complex systems such as aerospace systems, yet exact solutions are available only for linear Gaussian models. In practice…
Nonlinear Bayesian Filtering with Natural Gradient Gaussian Approximation
Wenhan Cao, Tianyi Zhang, Zeju Sun +3
Practical Bayes filters often assume the state distribution of each time step to be Gaussian for computational tractability, resulting in the so-called Gaussian filters. When facin…
On the Convergence Analysis of Yau-Yau Nonlinear Filtering Algorithm: from a Probabilistic Perspective
Zeju Sun, Xiuqiong Chen, Stephen S. -T. Yau
At the beginning of this century, a real time solution of the nonlinear filtering problem without memory was proposed in [1, 2] by the third author and his collaborator, and it is…