- 控制理论和非线性滤波讨论班

The Applications of Yau-Yau Algorithm on McKean-Vlasov Nonlinear Filtering Problem

组织者

丘成栋

演讲者

孙泽钜

时间

2024年08月28日 14:30 至 15:00

地点

理科楼A-304

摘要

In this talk, I will present the recent progress on the study of McKean-Vlasov nonlinear filtering problem. With the framework of Yau-Yau algorithm, we can derive a real-time algorithm compute the nonlinear filtering problems with state processes governed by a McKean-Vlasov stochastic differential equation. In comparison with standard filtering problem, the corresponding Fokker-Planck equation in this setting is a nonlinear partial differential equation. Fortunately, with the framework of Yau-Yau algorithm, this nonlinear partial differential equation can also be computed offline. A convergence analysis of this algorithm will be presented, together with some numerical results.