21 citations · 34 across the 16 of their papers we have counts for
4 papers · 1 filter
On the Lyapunov Foster criterion and Poincaré inequality for Reversible Markov Chains
Amirhossein Taghvaei, Prashant G. Mehta
This paper presents an elementary proof of stochastic stability of a discrete-time reversible Markov chain starting from a Foster-Lyapunov drift condition. Besides its relative sim…
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…
Error Analysis for the Linear Feedback Particle Filter
Amirhossein Taghvaei, Prashant G. Mehta
This paper is concerned with the convergence and the error analysis for the feedback particle filter (FPF) algorithm. The FPF is a controlled interacting particle system where the…
Gain Function Approximation in the Feedback Particle Filter
Amirhossein Taghvaei, Prashant G. Mehta
This paper is concerned with numerical algorithms for gain function approximation in the feedback particle filter. The exact gain function is the solution of a Poisson equation inv…