An Approach to Duality in Nonlinear Filtering
Jin Won Kim, Amirhossein Taghvaei, Prashant G. Mehta, Sean Meyn · 2019
This paper revisits the question of duality between minimum variance estimation and optimal control first described for the linear Gaussian case in the celebrated paper of Kalman and Bucy. A duality result is established for nonlinear filtering, mirroring closely the original Kalman-Bucy duality of control and estimation for linear systems. The result for the finite state-space continuous time Markov chain is presented. It's solution is used to derive the classical Wonham filter.