Lab Home | Phone | Search
	Center for Nonlinear Studies
	Home  ▶ People   Current   Executive Committee   Postdocs   Visitors   Students   Research   Publications  ▶ Conferences   Workshops   Sponsorship  ▶ Talks   Seminars   Postdoc Seminars Archive   Quantum Lunch   Quantum Lunch Archive   P/T Colloquia   Archive   Ulam Scholar     Postdoc Nominations  ▶ Student Requests   Student Program  ▶ Visitor Requests   Description   Past Visitors  ▶ Services   General     History of CNLS     Maps, Directions   CNLS Office   T-Division   LANL				Wednesday, June 07, 201710:00 AM - 11:00 AMCNLS Conference Room (TA-3, Bldg 1690) Seminar Hamiltonian Monte Carlo Approach to Nonlinear Filtering and Optimal Control Dr. Richard LinaresUniversity of Minnesota This presentation investigates the application of Hamiltonian Monte Carlo (HMC) samplers for solving nonlinear filtering problems that arise in many engineering applications. Using the theory of HMC samplers the nonlinear filtering problem for continuous dynamics and discrete measurements is formulated using two stochastic differential equations, one equation for the dynamics of the system and one equation for the measurement update. Furthermore, the filtering problem can be stated as the solution of two versions of the Fokker Planck Kolmogorov Equation (FPKF) one in physical time and one using an auxiliary time variable. The use of stochastic optimal control theory to improve the performance of such a method is discussed. A few simple examples are presented to highlight the application of this theory to practical problems. Host: Humberto C Godinez