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arXiv · 1809.10762

An Approach to Duality in Nonlinear Filtering

Jin W. Kim·Amirhossein Taghvaei·Prashant G. Mehta·Sean P. Meyn
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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.

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Jin W. Kim, Amirhossein Taghvaei, Prashant G. Mehta, Sean P. Meyn. 2018-09-27. An Approach to Duality in Nonlinear Filtering. https://arxiv.org/abs/1809.10762

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