Efficient Computation of Updated Lower Expectations for Imprecise Continuous-Time Hidden Markov Chains

arXiv1702.06791MaRDI QIDQ6283492FDOQ6283492

Authors: Thomas Krak, Jasper De Bock, Arno P. J. M. Siebes 

Publication date: 22 February 2017

Abstract: We consider the problem of performing inference with imprecise continuous-time hidden Markov chains, that is, imprecise continuous-time Markov chains that are augmented with random output variables whose distribution depends on the hidden state of the chain. The prefix `imprecise' refers to the fact that we do not consider a classical continuous-time Markov chain, but replace it with a robust extension that allows us to represent various types of model uncertainty, using the theory of imprecise probabilities. The inference problem amounts to computing lower expectations of functions on the state-space of the chain, given observations of the output variables. We develop and investigate this problem with very few assumptions on the output variables; in particular, they can be chosen to be either discrete or continuous random variables. Our main result is a polynomial runtime algorithm to compute the lower expectation of functions on the state-space at any given time-point, given a collection of observations of the output variables.

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