BIMSA > Seminar on Control Theory and Nonlinear Filtering The Applications of Yau-Yau Algorithm on McKean-Vlasov Nonlinear Filtering Problem
The Applications of Yau-Yau Algorithm on McKean-Vlasov Nonlinear Filtering Problem
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Wednesday, August 28, 2024 2:30 PM - 3:00 PM
Venue
理科楼A-304
Abstract
In this talk, I will present the recent progress on the study of McKean-Vlasov nonlinear filtering problem. With the framework of Yau-Yau algorithm, we can derive a real-time algorithm compute the nonlinear filtering problems with state processes governed by a McKean-Vlasov stochastic differential equation. In comparison with standard filtering problem, the corresponding Fokker-Planck equation in this setting is a nonlinear partial differential equation. Fortunately, with the framework of Yau-Yau algorithm, this nonlinear partial differential equation can also be computed offline. A convergence analysis of this algorithm will be presented, together with some numerical results.