The KBK filter parameterizes the Hamilton-Jacobi value function of a maximum-likelihood nonlinear estimator using principal Koopman eigenfunctions to obtain a linear-operator analogue of the Kalman-Bucy filter.
Approxima- tive policy iteration for exit time feedback control problems driven by stochastic differential equations using tensor train format,
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Discovering the Kalman-Bucy-Koopman Filter
The KBK filter parameterizes the Hamilton-Jacobi value function of a maximum-likelihood nonlinear estimator using principal Koopman eigenfunctions to obtain a linear-operator analogue of the Kalman-Bucy filter.