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Complete Solution to the Most General Nonlinear Filtering Problems - Yau-Yau algorithm

演讲者

康家熠

时间

2024年05月24日 10:00 至 11:30

地点

Shuangqing-B806

线上

Zoom 242 742 6089 (BIMSA)

摘要

The famous filtering problem of estimating the state of a stochastic dynamical system from noisy observations is of central importance in engineering. This problem can be reduced to solving the Duncan-Mortensen-Zakai (DMZ) equation, which is satisfied by the unnormalized conditional density of the state given the observation history. For general nonlinear filtering problems, solving the DMZ equation can be further reduced to solving a Kolmogorov forward equation offline, and this approach is known as the Yau-Yau algorithm. This mathematically solves the nearly 50-year-old problem of nonlinear filtering under mild conditions.