By Amirhossein Taghaei (University of Washington)

Talk Abstract:In this talk, I present a variational optimal-transportation (OT) method for nonlinear filtering, that aims at approximating the Brenier Optimal transport map from the prior to the posterior distribution, as a solution to a stochastic optimization problem. I discuss the relation of this approach to the feedback particle filter algorithm, and provide preliminary error analysis and numerical results that illustrates the performance of the algorithm in comparison with the sequential importance sampling particle filters.

Speaker Bio:Amirhossein Taghaei is an Assistant Professor in the William E. Boeing Department of Aeronautics and Astronautics at University of Washington Seattle. Prior to that, he was a Postdoctoral Scholar at the University of California Irvine in Prof. Tryphon Georgiou’s research lab. He received his Ph.D. degree in Mechanical Science and Engineering and the M.S. degree in Mathematics from University of Illinois at Urbana-Champaign. His current research involves nonlinear filtering, computational optimal transport, and stochastic thermodynamics.