A duality formulation for filter stability
Jin Won Kim, University of Illinois at Urbana-Champaign, USA online via Zoom, pls contact Wilhelm Stannat if you would like to join16:15
In this talk, I revisit the problem of filter stability based on certain dual optimal control-type reformulations of the nonlinear filtering problem.
My talk is in three parts: In part I, I describe certain extensions of the classical controllability -- observability duality from linear systems theory to nonlinear hidden Markov models (HMMs). In part II, I relate the filter stability to the stabilizability of the dual system. In part III, I discuss filter stability for a particular ergodic signal case where the latent process is strongly ergodic.
invited by Wilhelm Stannat