BIMSA > Seminar on Control Theory and Nonlinear Filtering Deep Filtering and Stochastic Approximation Approach
Deep Filtering and Stochastic Approximation Approach
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Wednesday, June 12, 2024 10:30 AM - 11:00 AM
Venue
理科楼A-203
Abstract
In this talk, we will review some recent advances in nonlinear filtering by H. Qian, G. Yin and Q. Zhang. The first filtering algorithm is based on a deep learning framework, which can be used to deal with challenging filtering problems involving diffusions with randomly-varying switching. The second filtering algorithm is based on a recursive filtering equation in which the gain matrix is a matrix-valued parameter to be determined. This approach can deal with general filtering systems with degenerate observation noises.