Feynman Path Integral Inspired Computational Methods for Nonlinear Filtering

摘要

The fundamental solution for the continuous-time filtering problems can be expressed in terms of Feynman path integrals. This enables one to view the solution of filtering problem in terms of an effective action that is a function of the signal and measurement models. The practical utility of the path integral formula is demonstrated via some nontrivial examples. Specifically, it is shown that the simplest approximation of the path integral formula for the fundamental solution of the Fokker-Planck-Kolmogorov forward equation (termed the Dirac-Feynman approximation) can be applied to solve nonlinear continuous-discrete filtering problems quite accurately using sparse grid filtering and Monte-Carlo approaches.