Robust filtering and propagation of uncertainty in hidden Markov models

DOI10.1214/21-EJP633zbMATH Open1484.60049arXiv2005.04982OpenAlexW3165456551MaRDI QIDQ2042836FDOQ2042836

Authors: Andrew L. Allan 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2005.04982

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zbMATH Keywords

hidden Markov modelfilteringstochastic optimal controlparameter uncertaintyrough pathspathwise optimal controlrough equation

Mathematics Subject Classification ID

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)

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Cited In (6)

• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• Universal Filtering Via Hidden Markov Modeling
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• Pathwise stochastic control with applications to robust filtering
• Hidden Markov models: inverse filtering, belief estimation and privacy protection
• Finite Horizon Robust State Estimation for Uncertain Finite-Alphabet Hidden Markov Models with Conditional Relative Entropy Constraints

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