An Optimal Control Derivation of Nonlinear Smoothing Equations

@article{Kim2019AnOC,
  title={An Optimal Control Derivation of Nonlinear Smoothing Equations},
  author={Jin W. Kim and Prashant G. Mehta},
  journal={arXiv: Optimization and Control},
  year={2019}
}
  • J. Kim, P. Mehta
  • Published 2019
  • Mathematics
  • arXiv: Optimization and Control
The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been an active area of recent research interest owing to work in mean-field games and optimal transportation theory. The nonlinear smoothing problem is considered here for continuous-time Markov processes. The observation process is modeled as a nonlinear function of a hidden state with an additive Gaussian measurement… Expand
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