{"title":"A Dynamic Programming Formulation for the Nonlinear Filter","authors":"Jin W. Kim, P. Mehta","doi":"10.1109/ICC54714.2021.9703115","DOIUrl":null,"url":null,"abstract":"This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The solution is obtained via an application of the maximum principle (MP). In the present paper, a dynamic programming (DP) principle is presented for a special class of BSDE-constrained stochastic optimal control problems. The principle is applied to derive the solution of the nonlinear filtering problem.","PeriodicalId":382373,"journal":{"name":"2021 Seventh Indian Control Conference (ICC)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2021 Seventh Indian Control Conference (ICC)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICC54714.2021.9703115","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The solution is obtained via an application of the maximum principle (MP). In the present paper, a dynamic programming (DP) principle is presented for a special class of BSDE-constrained stochastic optimal control problems. The principle is applied to derive the solution of the nonlinear filtering problem.
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