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math.OC2022
The reproducing kernel Hilbert spaces underlying linear SDE Estimation, Kalman filtering and their relation to optimal control
Pierre-Cyril Aubin-Frankowski, Alain Bensoussan
It is often said that control and estimation problems are in duality. Recently, in (Aubin-Frankowski,2021), we found new reproducing kernels in Linear-Quadratic optimal control by…
math.OC2022
Operator-valued Kernels and Control of Infinite dimensional Dynamic Systems
Pierre-Cyril Aubin-Frankowski, Alain Bensoussan
The Linear Quadratic Regulator (LQR), which is arguably the most classical problem in control theory, was recently related to kernel methods in (Aubin-Frankowski, SICON, 2021) for…