Dimensional reduction in nonlinear filtering: a homogenization approach

DOI10.1214/12-AAP901zbMATH Open1288.60049arXiv1112.2986MaRDI QIDQ389065FDOQ389065

Authors: P. Imkeller, N. Sri Namachchivaya, Nicolas Perkowski, Hoong C. Yeong 

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We propose a homogenized filter for multiscale signals, which allows us to reduce the dimension of the system. We prove that the nonlinear filter converges to our homogenized filter with rate $sqrtvarepsilon$. This is achieved by a suitable asymptotic expansion of the dual of the Zakai equation, and by probabilistically representing the correction terms with the help of BDSDEs.

Full work available at URL: https://arxiv.org/abs/1112.2986

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zbMATH Keywords

dimensional reductionhomogenizationparticle filteringnonlinear filteringbackward finite-dimensional stochastic partial differential equationsstochastic partial differential equations (SPDEs)

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited In (24)

• Optimal control of multiscale systems using reduced-order models
• Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
• Effective filtering for slow-fast systems via Wong-Zakai approximation
• Filtering the Maximum Likelihood for Multiscale Problems
• Dimension reduction in statistical estimation of partially observed multiscale processes
• Mean field limits for interacting diffusions in a two-scale potential
• A new framework for extracting coarse-grained models from time series with multiscale structure
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• Effective filtering on a random slow manifold
• Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises
• Data assimilation for a multiscale stochastic dynamical system with Gaussian noise
• Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise

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