Reduced Complexity HMM Filtering With Stochastic Dominance Bounds: A Convex Optimization Approach
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Publication:4579616
DOI10.1109/TSP.2014.2362886zbMATH Open1394.94286arXiv1407.0738MaRDI QIDQ4579616FDOQ4579616
Authors: Vikram Krishnamurthy, Cristian R. Rojas 
Publication date: 22 August 2018
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Abstract: This paper uses stochastic dominance principles to construct upper and lower sample path bounds for Hidden Markov Model (HMM) filters. Given a HMM, by using convex optimization methods for nuclear norm minimization with copositive constraints, we construct low rank stochastic marices so that the optimal filters using these matrices provably lower and upper bound (with respect to a partially ordered set) the true filtered distribution at each time instant. Since these matrices are low rank (say R), the computational cost of evaluating the filtering bounds is O(XR) instead of O(X2). A Monte-Carlo importance sampling filter is presented that exploits these upper and lower bounds to estimate the optimal posterior. Finally, using the Dobrushin coefficient, explicit bounds are given on the variational norm between the true posterior and the upper and lower bounds.
Full work available at URL: https://arxiv.org/abs/1407.0738
Convex programming (90C25) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
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