An Approach to Duality in Nonlinear Filtering
Probability
2019-03-28 v2 Optimization and Control
Abstract
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 and Bucy. A duality result is established for nonlinear filtering, mirroring closely the original Kalman-Bucy duality of control and estimation for linear systems. The result for the finite state-space continuous time Markov chain is presented. It's solution is used to derive the classical Wonham filter.
Keywords
Cite
@article{arxiv.1809.10762,
title = {An Approach to Duality in Nonlinear Filtering},
author = {Jin W. Kim and Amirhossein Taghvaei and Prashant G. Mehta and Sean P. Meyn},
journal= {arXiv preprint arXiv:1809.10762},
year = {2019}
}
Comments
6 pages, 2019 American Control Conference