Asymptotically Optimal Discrete-Time Nonlinear Filters From Stochastically Convergent State Process Approximations

DOI10.1109/TSP.2015.2428220zbMATH Open1394.94268arXiv1411.6719OpenAlexW2043714360MaRDI QIDQ4580665FDOQ4580665

Dionysios S. Kalogerias, Athina P. Petropulu

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: We consider the problem of approximating optimal in the Minimum Mean Squared Error (MMSE) sense nonlinear filters in a discrete time setting, exploiting properties of stochastically convergent state process approximations. More specifically, we consider a class of nonlinear, partially observable stochastic systems, comprised by a (possibly nonstationary) hidden stochastic process (the state), observed through another conditionally Gaussian stochastic process (the observations). Under general assumptions, we show that, given an approximating process which, for each time step, is stochastically convergent to the state process, an approximate filtering operator can be defined, which converges to the true optimal nonlinear filter of the state in a strong and well defined sense. In particular, the convergence is compact in time and uniform in a completely characterized measurable set of probability measure almost unity, also providing a purely quantitative justification of Egoroff's Theorem for the problem at hand. The results presented in this paper can form a common basis for the analysis and characterization of a number of heuristic approaches for approximating optimal nonlinear filters, such as approximate grid based techniques, known to perform well in a variety of applications.

Full work available at URL: https://arxiv.org/abs/1411.6719

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (2)

• Approximate linear minimum variance filters for continuous-discrete state space models: convergence and practical adaptive algorithms
• A new Hamilton-Jacobi differential game framework for nonlinear estimation and output feedback control

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