An approach to duality in nonlinear filtering

Jin Won Kim, Amirhossein Taghvaei, Prashant G. Mehta, Sean P. Meyn

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper revisits the question of duality between minimum variance estimation and optimal control first described for the linear Gaussian case in the celebrated paper of Kalman and Bucy. A duality result is established for nonlinear filtering, mirroring closely the original Kalman-Bucy duality of control and estimation for linear systems. The result for the finite state-space continuous time Markov chain is presented. It's solution is used to derive the classical Wonham filter.

Original languageEnglish (US)
Title of host publication2019 American Control Conference, ACC 2019
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages5360-5365
Number of pages6
ISBN (Electronic)9781538679265
StatePublished - Jul 2019
Event2019 American Control Conference, ACC 2019 - Philadelphia, United States
Duration: Jul 10 2019Jul 12 2019

Publication series

NameProceedings of the American Control Conference
Volume2019-July
ISSN (Print)0743-1619

Conference

Conference2019 American Control Conference, ACC 2019
CountryUnited States
CityPhiladelphia
Period7/10/197/12/19

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ASJC Scopus subject areas

  • Electrical and Electronic Engineering

Cite this

Kim, J. W., Taghvaei, A., Mehta, P. G., & Meyn, S. P. (2019). An approach to duality in nonlinear filtering. In 2019 American Control Conference, ACC 2019 (pp. 5360-5365). [8815136] (Proceedings of the American Control Conference; Vol. 2019-July). Institute of Electrical and Electronics Engineers Inc..