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A variational approach to sampling in diffusion processes
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We revisit the work of Mitter and Newton on an information-theoretic interpretation of Bayes' formula through the Gibbs variational principle. This formulation allowed them to pose nonlinear estimation for diffusion processes as a problem in stochastic optimal control, so that the posterior density of the signal given the observation path could be sampled by adding a drift to the signal process. We show that this control-theoretic approach to sampling provides a common mechanism underlying several distinct problems involving diffusion processes, specifically importance sampling using Feynman-Kac averages, time reversal, and Schr\"odinger bridges.
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Cited by 2 Pith papers
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