Exponential filter stability via Dobrushin's coefficient

DOI10.1214/20-ECP333MaRDI QIDQ2201531zbMATH OpenOpenAlexWikidataFDO

Authors Curtis McDonald, Serdar Yüksel

Publication date 29 September 2020

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.08463, https://projecteuclid.org/euclid.ecp/1596679466

zbMATH Keywords

filter stabilitygeometric convergencenon-linear filteringDobrushin coefficient

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Discrete-time Markov processes on general state spaces (60J05) Asymptotic stability in control theory (93D20)

Abstract: Filter stability is a classical problem in the study of partially observed Markov processes (POMP), also known as hidden Markov models (HMM). For a POMP, an incorrectly initialized non-linear filter is said to be (asymptotically) stable if the filter eventually corrects itself as more measurements are collected. Filter stability results in the literature that provide rates of convergence typically rely on very restrictive mixing conditions on the transition kernel and measurement kernel pair, and do not consider their effects independently. In this paper, we introduce an alternative approach using the Dobrushin coefficients associated with both the transition kernel as well as the measurement channel. Such a joint study, which seems to have been unexplored, leads to a concise analysis that can be applied to more general system models under relaxed conditions: in particular, we show that if $(1-delta(T))(2-delta(Q))<1$, where $delta(T)$ and $delta(Q)$ are the Dobrushin coefficients for the transition and the measurement kernels, then the filter is exponentially stable. Our findings are also applicable for controlled models.

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Cited in

(10)

• Exponential asymptotic stability of time-varying inverse prediction error filters
• Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control
• An improved bound for the exponential stability of predictive filters of hidden Markov models
• On the stability of positive semigroups
• Average cost optimality of partially observed MDPs: contraction of nonlinear filters and existence of optimal solutions and approximations
• Robustness to incorrect priors and controlled filter stability in partially observed stochastic control
• Intrinsic methods in filter stability
• Planning and learning in partially observable systems via filter stability
• scientific article; zbMATH DE number 7625164 (Why is no real title available?)
• Another look at partially observed optimal stochastic control: existence, ergodicity, and approximations without belief-reduction

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