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Seminar on Control Theory and Nonlinear Filtering
Searching for Accurate and Efficient Implementation of Yau-Yau Nonlinear Filter
Searching for Accurate and Efficient Implementation of Yau-Yau Nonlinear Filter
Organizer
Speaker
Time
Wednesday, July 3, 2024 2:45 PM - 3:45 PM
Venue
理科楼A-304
Abstract
Yau-Yau filter is the first method potentially suitable for applications to practically any nonlinear filtering problem. This method converts solving a nonlinear filtering problem into solving a linear Forward Kolmogorov Equation (FKE) computationally. Using accuracy and efficiency as two important criteria for developing and evaluating different implementation methods, we will discuss the three difficulties associated with the methods: nonlinearity and dimensionality of the state process and the observation process, and the explicit time-dependency in FKE. Tested with three illustrative cases, preliminary results suggest that PINN（Physics-informed Neural Network) may be one of the viable candidates for implementation.
Speaker Intro
Dr. Zhang Xiaoming received his bachelor's, master's, and doctor's degrees from Zhejiang University, Peking University, and Massachusetts Institute of Technology. He is currently a professor at the Beijing Institute of Mathematical Sciences and Applications, responsible for the artificial intelligence and big data research team. Dr. Zhang has long been engaged in the research, development, and application of artificial intelligence technologies to big data prediction and resource optimization and allocations problems. He presided over the development of digital intelligence service platform "printing and dyeing brain", which was well recognized in the industry. At present, his work focuses on the mathematical problems in developing industrial digital twins.