BIMSA > Seminar on Control Theory and Nonlinear Filtering Optimal Projection Filters with Information Geometry
Optimal Projection Filters with Information Geometry
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Friday, October 6, 2023 8:00 PM - 8:30 PM
Venue
Online
Abstract
In this talk, we will review several types of projection filters. Projection structures coming from information geometry are used to obtain a finite dimensional filter in the form of a stochastic differential equation, starting from the exact infinite-dimensional stochastic partial differential equation for the optimal filter. We will start with the Stratonovich projection filters based on the Hellinger distance as well as an L^2 metric. Moreover, we will discuss the optimal projection filter based on Ito vector and jet projections, where several types of mean square distances between the optimal filter SPDE solution and the sought finite dimensional SDE approximations are minimized.