Maximum a posteriori state path estimation: discretization limits and their interpretation
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Publication:458750
DOI10.1016/J.AUTOMATICA.2014.03.003zbMATH Open1296.93204arXiv1403.5194OpenAlexW2068608978MaRDI QIDQ458750FDOQ458750
Authors: Bruno Otávio Soares Teixeira, Luis Antonio Aguirre, Dimas Abreu Dutra 
Publication date: 8 October 2014
Published in: Automatica (Search for Journal in Brave)
Abstract: Continuous-discrete models with dynamics described by stochastic differential equations are used in a wide variety of applications. For these systems, the maximum a posteriori (MAP) state path can be defined as the curves around which lie the infinitesimal tubes with greatest posterior probability, which can be found by maximizing a merit function built upon the Onsager--Machlup functional. A common approach used in the engineering literature to obtain the MAP state path is to discretize the dynamics and obtain the MAP state path for the discretized system. In this paper, we prove that if the trapezoidal scheme is used for discretization, then the discretized MAP state path estimation converges hypographically to the continuous-discrete MAP state path estimation as the discretization gets finer. However, if the stochastic Euler scheme is used instead, then the discretized estimation converges to the minimum energy estimation. The minimum energy estimates are, in turn, proved to be the state paths associated with the MAP noise paths, which in some cases differ from the MAP state paths. Therefore, the discretized MAP state paths can have different interpretations depending on the discretization scheme used.
Full work available at URL: https://arxiv.org/abs/1403.5194
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Discrete approximations in optimal control (49M25) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)
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- The small-noise limit of the most likely element is the most likely element in the small-noise limit
- An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions
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