Theory and Algorithms for Feedback Particle Filter

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Finding accurate solutions for complex optimization problems and other related challenging mathematical problems is very important in many engineering applications. Some example applications include: target tracking and surveillance where multiple sensor measurements are used to track targets, air traffic management to track airplanes, weather surveillance to track hurricanes, ground mapping, geophysical surveys, remote sensing, autonomous navigation, and robotics. State-of-the-art solution approaches to these problems include the Kalman filter algorithm and its many extensions. However, in practice, such approaches can yield inaccurate and erroneous solutions because of technical issues related to complexity in dynamics and uncertainty. In the past decade, a new class of algorithmic solution approaches to these problems has emerged referred to as the "Feedback Particle Filter". The Feedback Particle Filter can better handle the technical issues related to such complex dynamics and uncertainty. This research will advance the theoretical development and verification of the Feedback Particle Filter algorithm, and lay the groundwork for software tools that will be useful in tracking applications noted above. The project also includes several educational initiatives that seek to engage undergraduate students in entrepreneurship. A major objective of the research concerns the development of optimal control formulations of the feedback particle filter based on optimal transportation theory and mean-field games formalisms. The theoretical research is closely integrated with the work on computational algorithms. The algorithmic objectives pertain to numerical solution of the Poisson equation, convergence analysis of the particle system with finitely many particles, and comparisons with importance sampling-based algorithms. The deliverables include efficient numerical schemes which will be implemented and demonstrated in software.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.