277 citations · 564 across the 48 of their papers we have counts for
4 papers · 2 filters
An Optimal Control Derivation of Nonlinear Smoothing Equations
Jin W. Kim, Prashant G. Mehta
The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been…
Optimal Rate of Convergence for Quasi-Stochastic Approximation
Andrey Bernstein, Yue Chen, Marcello Colombino +3
The Robbins-Monro stochastic approximation algorithm is a foundation of many algorithmic frameworks for reinforcement learning (RL), and often an efficient approach to solving (or…
What is the Lagrangian for Nonlinear Filtering?
Jin W. Kim, Prashant G. Mehta, Sean P. Meyn
Duality between estimation and optimal control is a problem of rich historical significance. The first duality principle appears in the seminal paper of Kalman-Bucy, where the prob…
Diffusion map-based algorithm for Gain function approximation in the Feedback Particle Filter
Amirhossein Taghvaei, Prashant G. Mehta, Sean P. Meyn
Feedback particle filter (FPF) is a numerical algorithm to approximate the solution of the nonlinear filtering problem in continuous-time settings. In any numerical implementation…