Monday, July 22
8:30-10:30 AM

Stochastic Filtering and Control

This minisymposium focuses on two major topics in stochastic system theory, nonlinear filtering and ergodic control. The speakers will discuss the use of homogeneous chaos to obtain a recursive approximation to the nonlinear filter, the conditional distribution for the nonlinear filtering problem where the initial probability law is incorrect, the average (or ergodic) cost optimal control problem for Markov decision processes with unbounded cost, and the ergodic control of nonlinear stochastic partial differential equations with boundary control and noise.

Organizer: Tyrone E. Duncan
University of Kansas

8:30 Nonlinear Recursive Wiener Type Filters for a Markov State Process
Boris Rozovskii, University of Southern California
9:00 Evolution of Relative Entropy in Nonlinear Filtering
Daniel Ocone, Rutgers University, New Brunswick
9:30 The Policy Improvement Algorithm for Markov Decision Processes with General State Space
Sean P. Meyn, University of Illinois
10:00 Ergodic Control of Nonlinear Stochastic Partial Differential Equations with Boundary Control and Noise
Tyrone E. Duncan, Organizer; B. Maslowski, Institute of Mathematics, Prague, Czech Republic; and B. Pasik-Duncan, University of Kansas

Registration | Hotel Information | Transportation | Speaker Index | Program Overview

MMD, 5/20/96