223,481 research outputs found
Euclidean Quantum Mechanics and Universal Nonlinear Filtering
An important problem in applied science is the continuous nonlinear filtering
problem, i.e., the estimation of a Langevin state that is observed indirectly.
In this paper, it is shown that Euclidean quantum mechanics is closely related
to the continuous nonlinear filtering problem. The key is the configuration
space Feynman path integral representation of the fundamental solution of a
Fokker-Planck type of equation termed the Yau Equation of continuous-continuous
filtering. A corollary is the equivalence between nonlinear filtering problem
and a time-varying Schr\"odinger equation.Comment: 19 pages, LaTeX, interdisciplinar
Daylight operation of a free space, entanglement-based quantum key distribution system
Many quantum key distribution (QKD) implementations using a free space
transmission path are restricted to operation at night time in order to
distinguish the signal photons used for a secure key establishment from
background light. Here, we present a lean entanglement-based QKD system
overcoming that imitation. By implementing spectral, spatial and temporal
filtering techniques, we were able to establish a secure key continuously over
several days under varying light and weather conditions.Comment: 13 pages, 6 figure
Sequential Monte Carlo smoothing with application to parameter estimation in non-linear state space models
This paper concerns the use of sequential Monte Carlo methods (SMC) for
smoothing in general state space models. A well-known problem when applying the
standard SMC technique in the smoothing mode is that the resampling mechanism
introduces degeneracy of the approximation in the path space. However, when
performing maximum likelihood estimation via the EM algorithm, all functionals
involved are of additive form for a large subclass of models. To cope with the
problem in this case, a modification of the standard method (based on a
technique proposed by Kitagawa and Sato) is suggested. Our algorithm relies on
forgetting properties of the filtering dynamics and the quality of the
estimates produced is investigated, both theoretically and via simulations.Comment: Published in at http://dx.doi.org/10.3150/07-BEJ6150 the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
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