How to implement the Bayes' formula in the age of ML?

Abstract

This chapter contains a self-contained introduction to the significance of Bayes' formula in the context of nonlinear filtering problems. Both discrete-time and continuous-time settings of the problem are considered in a unified manner. In control theory, the focus on optimization-based solution approaches is stressed together with a discussion of historical developments in this area (from 1960s onwards). The heart of this chapter contains a presentation of a novel optimal transportation formulation for the Bayes formula (developed recently by the first author) and its relationship to some of the prior joint work (feedback particle filter) from the authors. The presentation highlights how optimal transportation theory is leveraged to overcome some of the numerical challenges of implementing Bayes' law by enabling the use of machine learning (ML) tools.