A Variational Approach to Nonlinear Estimation

DOI10.1137/S0363012901393894zbMath1049.93082OpenAlexW2078059111MaRDI QIDQ4443066

Nigel J. Newton, Sanjoy K. Mitter

Publication date: 8 January 2004

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012901393894

zbMATH Keywords

stochastic optimal controlvariational formulationnonlinear filteringinformation theorydiffusion processesBayesian inferenceapparent informationcompatible informationLegendre-type transformations

Mathematics Subject Classification ID

Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Information theory (general) (94A15)

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