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Sanjoy Mitter (Massachusetts Institute of Technology, USA)
Date & Time
Tue, 08 January 2019, 15:00 to 16:00
Emmy Noether Seminar Room, ICTS Campus, Bangalore

The problem of Nonlinear Filtering is to estimate the state of a nonlinear  stochastic dynamical system  given nosy observations  . In the linear situation the problems arose in the work of Wiener ,  Kolmogoroff in the 40’s and subsequently in the work of Kalman in late fifties and early sixties . One of the major applications  of this theory is for weather prediction where the problem is known as Data Assimilation. In this lecture I discuss the connection of this work to Shannon Information Theory and Nonequilibrium Statistical Mechanics.

 Joint work with Nigel Newton