Robust filtering and propagation of uncertainty in hidden Markov models
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filteringhidden Markov modelparameter uncertaintypathwise optimal controlrough equationrough pathsstochastic optimal control
Optimality conditions for problems involving randomness (49K45) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Rough partial differential equations (60L50) Optimal stochastic control (93E20)
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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Cited in
(8)- Hidden Markov models: inverse filtering, belief estimation and privacy protection
- Pathwise stochastic control with applications to robust filtering
- scientific article; zbMATH DE number 5979097 (Why is no real title available?)
- 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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