BIMSA > 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
Shing Toung Yau
Speaker
Yuzhong Hu
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.