Duality Between Estimation and Control

author: Sanjoy K. Mitter, Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, MIT
published: Oct. 16, 2012,   recorded: September 2012,   views: 4281


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In this talk I discuss Bayesian Inference as a problem in Free Energy Minimization and the Fenchel-Legendre Duality related to this viewpoint . I specialize this to the estimation problem for nonlinear diffusions with nonlinear observations and show how this gives a stochastic control interpretation for the nonlinear estimation problem . Finally, I discuss how Shannon's Noisy Channel Coding Theorem could be viewed as a Bayesian Inference problem and demonstrate its similarities to the Gibbs variational Principle.

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