2017
DOI: 10.48550/arxiv.1710.05829
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Non-Euclidean Conditional Expectation and Filtering

Abstract: A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The computational tractable formulation expresses the non-convex optimization problem as transformations of Euclidean conditional expectation. This gives computationally tractable filtering equations for the dynamics of the intrinsic conditional expectation of a manifoldvalued signal and is used to obtain accurate numerical forecasts of… Show more

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References 33 publications
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