5 papers
Nonlinear Filtering with Brenier Optimal Transport Maps
Mohammad Al-Jarrah, Niyizhen Jin, Bamdad Hosseini +1
This paper is concerned with the problem of nonlinear filtering, i.e., computing the conditional distribution of the state of a stochastic dynamical system given a history of noisy…
Error Analysis of Sampling Algorithms for Approximating Stochastic Optimal Control
Anant A. Joshi, Amirhossein Taghvaei, Prashant G. Mehta
This paper is concerned with the error analysis of two types of sampling algorithms, namely model predictive path integral (MPPI) and an interacting particle system (\IPS) algorith…
How to implement the Bayes' formula in the age of ML?
Amirhossein Taghvaei, Prashant G. Mehta
This chapter contains a self-contained introduction to the significance of Bayes' formula in the context of nonlinear filtering problems. Both discrete-time and continuous-time set…
Dual Ensemble Kalman Filter for Stochastic Optimal Control
Anant A. Joshi, Amirhossein Taghvaei, Prashant G. Mehta +1
In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of rein…
Divergence metrics in the study of Markov and hidden Markov processes
Jin Won Kim, Amirhossein Taghvaei, Prashant G. Mehta
This paper is divided into two parts. The first part reviews the formulae for f-divergences in the study of continuous-time Markov processes and explores their applications in area…