4 papers
The BAR-SOT Method: Long-term Average Cost Control as Stochastic Optimal Self-Transport
Sharan Srinivasan, Berke M. Turkay, Harsha Honnappa
We reformulate average-cost (ergodic) control of a Markov jump process as a finite-horizon stochastic optimal transport (SOT) problem that jointly optimizes over the controlled evo…
The Variational Approach in Filtering and Correlated Noise
Sharan Srinivasan, Vijay Gupta, Harsha Honnappa
The variational formulation of nonlinear filtering due to Mitter and Newton characterizes the filtering distribution as the unique minimizer of a free energy functional involving t…
Robust Filtering of Lévy-driven Stochastic Models
Sharan Srinivasan, Vijay Gupta, Harsha Honnappa
We study robust nonlinear filtering for stochastic models driven by Lévy processes, where the signal and observation processes are coupled through common Brownian and jump noise. R…
Linear Quadratic Control with Non-Markovian and Non-Semimartingale Noise Models
Mostafa M. Shibl, Sharan Srinivasan, Harsha Honnappa +1
The standard linear quadratic Gaussian (LQG) framework assumes a Brownian noise process and relies on classical stochastic calculus tools, such as those based on Itô calculus. In t…