Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm-Reference-Cited by-同舟云学术

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Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm

Published:2023-08-04 Issue:4 Volume:61 Page:2407-2424
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Kang Jiayi¹,Salmon Andrew²^ORCID,Yau Stephen S.-T.³

Affiliation:

1. Department of Mathematical Sciences, Tsinghua University, Beijing, 100084, China.

2. Mathematics Department, Massachusetts Institute of Technology, Cambridge, MA 02139 USA.

3. Yanqi Lake Beijing Institute of Mathematical Sciences and Applications, Beijing, 101400, China, and Department of Mathematical Sciences, Tsinghua University, Beijing, 100084, China.

Funder

National Natural Science Foundation of China

Tsinghua University

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Reference48 articles.

1. Some properties of semiconcave functions with general modulus

2. A tutorial on particle filters for online nonlinear/non-Gaussian Bayesian tracking

3. Universal nonlinear filtering using Feynman path integrals II: the continuous-continuous model with additive noise

4. The iterated Kalman filter update as a Gauss-Newton method

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