Backward Filtering Forward Guiding (BFFG) is a bidirectional algorithm proposed in Mider et al. 2021 and studied more in depth in a general setting in Van der Meulen and Schauer 2022. In category theory, optics have been proposed for modelling systems with bidirectional data flow. We connect BFFG with optics by demonstrating that the forward and backwards map together define a functor from a category of Markov kernels into a category of optics, which is furthermore lax monoidal in the case when the guiding kernels coincide with the generative dynamics
Schauer et al. (Tue,) studied this question.