Robust filtering and propagation of uncertainty in hidden Markov models
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Publication:2042836
hidden Markov modelfilteringstochastic optimal controlparameter uncertaintyrough pathspathwise optimal controlrough equation
Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20) Rough partial differential equations (60L50)
Abstract: We consider the filtering of continuous-time finite-state hidden Markov models, where the rate and observation matrices depend on unknown time-dependent parameters, for which no prior or stochastic model is available. We quantify and analyze how the induced uncertainty may be propagated through time as we collect new observations, and used to simultaneously provide robust estimates of the hidden signal and to learn the unknown parameters, via techniques based on pathwise filtering and new results on the optimal control of rough differential equations.
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(6)- Universal Filtering Via Hidden Markov Modeling
- Finite Horizon Robust State Estimation for Uncertain Finite-Alphabet Hidden Markov Models with Conditional Relative Entropy Constraints
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