Particle Filtering for Stochastic Control and Global Optimization

Professor Steve Marcus (ECE/ISR) and Professor Michael Fu (BMGT/ISR) are co-PIs for a three-year, $390K NSF grant, Particle Filtering for Stochastic Control and Global Optimization. The objective of this program is to provide new breakthroughs in the areas of stochastic control and global optimization through insights gained from particle filtering and from additional recent results in nonlinear filtering. Stochastic control and optimization can be applied to many problems of critical concern in US industry, so the resulting algorithms will have broad and transformative applicability. In the project, they will be tested on problems in industries from telecommunications to manufacturing to finance.