5 citations · 14 across the 11 of their papers we have counts for
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math.PR2018
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…
math.OC2018
Derivation and Extensions of the Linear Feedback Particle Filter based on Duality Formalisms
Jin W. Kim, Amirhossein Taghvaei, Prashant G. Mehta
This paper is concerned with a duality-based approach to derive the linear feedback particle filter (FPF). The FPF is a controlled interacting particle system where the control law…