3 papers
math.OC2022
Duality for Nonlinear Filtering II: Optimal Control
Jin Won Kim, Prashant G. Mehta
This paper is concerned with the development and use of duality theory for a nonlinear filtering model with white noise observations. The main contribution of this paper is to intr…
math.OC2022
Duality for Nonlinear Filtering I: Observability
Jin Won Kim, Prashant G. Mehta
This paper is concerned with the development and use of duality theory for a hidden Markov model (HMM) with white noise observations. The main contribution of this work is to intro…
math.OC2022
Duality for nonlinear filtering
Jin Won Kim
This thesis is concerned with the stochastic filtering problem for a hidden Markov model (HMM) with the white noise observation model. For this filtering problem, we make three typ…