A neural path estimation approach learns the filtering posterior path measure for stochastic dynamical systems from noisy partial observations by solving a variational stochastic control problem based on the pathwise Zakai equation.
An optimal control approach to particle filtering.Automatica, 151:110894, 2023
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Pathwise Learning of Stochastic Dynamical Systems with Partial Observations
A neural path estimation approach learns the filtering posterior path measure for stochastic dynamical systems from noisy partial observations by solving a variational stochastic control problem based on the pathwise Zakai equation.