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Information and Entropy Flow in Stochastic Control

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In this talk, I discuss the connections between Stochastic Control with partial observations and Information Theory in the context of the statistical mechanical problem of extracting the maximum amount work from a noisy electrical circuit by applying appropriate control. I also discuss how the optimal filtering problem for a diffusion process is informationally optimal.

This is joint work with Nigel Newton, Henrik Sandberg and Jean-Charles Delvenne.

This talk is part of the CUED Control Group Seminars series.

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