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Seminar on Control Theory and Nonlinear Filtering
How to implement the Bayes’ formula in the age of ML?
How to implement the Bayes’ formula in the age of ML?
Organizer
Speaker
Zeju Sun
Time
Wednesday, December 4, 2024 2:00 PM - 3:00 PM
Venue
Online
Abstract
This talk is based on a recent report of A. Taghvaei and P. G. Mehta on Bayes filtering. It includes a historical survey of the traditional filtering algorithms, a discussion of the fundamental limitations of these algorithms in non-Gaussian and high-dimensional applications, a new optimization formulation of the Bayes’ law based on optimal transportation theory. The relationship of this new formulation and the feedback particle filter in continuous-time settings of the nonlinear filtering problem will also be illustrated.