EE Seminar: The Kalman Filter and Quantization

~~(The talk will be given in English)

Speaker:  Prof. Alexander Ovseevich
Institute for Problems in Mechanics, Moscow
Wednesday, March 18th, 2015
16:00 - 17:00
Room 011, Kitot Bldg., Faculty of Engineering
The Kalman Filter and Quantization
Abstract
We show that the filtering of diffusion processes is intimately related with classical and quantum mechanics. We associate  a classical Hamiltonian system with a  linear or nonlinear filtering problem, so that the problem is  similar to that  of quantization  of
the Hamiltonian system. In particular, the classical linear Kalman--Bucy filter turns out to be equivalent  to the Heisenberg equations for a quantized linear Hamiltonian system. As a byproduct we obtain  formulas for regularized  determinants of  Sturm-Liouville operators, as well as the Mehler formula for the fundamental solution of the Schrodinger operator for a harmonic oscillator.