Nonlinear filtering via stochastic PDE projection on mixture manifolds in L^2 direct metric

DOI10.1007/S00498-015-0154-1zbMATH Open1338.93365arXiv1303.6236OpenAlexW3100014800WikidataQ59409630 ScholiaQ59409630MaRDI QIDQ276014FDOQ276014

John Armstrong, Damiano Brigo

Publication date: 26 April 2016

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Abstract: We examine some differential geometric approaches to finding approximate solutions to the continuous time nonlinear filtering problem. Our primary focus is a new projection method for the optimal filter infinite dimensional Stochastic Partial Differential Equation (SPDE), based on the direct L2 metric and on a family of normal mixtures. We compare this method to earlier projection methods based on the Hellinger distance/Fisher metric and exponential families, and we compare the L2 mixture projection filter with a particle method with the same number of parameters, using the Levy metric. We prove that for a simple choice of the mixture manifold the L2 mixture projection filter coincides with a Galerkin method, whereas for more general mixture manifolds the equivalence does not hold and the L2 mixture filter is more general. We study particular systems that may illustrate the advantages of this new filter over other algorithms when comparing outputs with the optimal filter. We finally consider a specific software design that is suited for a numerically efficient implementation of this filter and provide numerical examples.

Full work available at URL: https://arxiv.org/abs/1303.6236

zbMATH Keywords

exponential familiesHellinger distancedirect \(L^2\) metricfinite-dimensional families of probability distributionsFisher informationGalerkin methodsLevy metricmixture familiesstochastic filtering

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

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Cited In (7)

• Optimal projection filters with information geometry
• Approximate nonlinear filtering by projection on exponential manifolds of densities
• Itô-vector projection filter for exponential families
• A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems
• Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters
• Linearized filtering of affine processes using stochastic Riccati equations
• A novel high speed transport protocol based on explicit virtual load feedback

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