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Communication Dans Un Congrès Année : 2022

Approximation of Nonlinear Filters for Continuous-Time Markov Chains under Randomly-Sampled Observations

Résumé

For a continuous-time Markov chain with finite state space and an observation process with additive Gaussian noise, we consider the problem of designing optimal filters when the measurements of the observation process are available at randomly sampled time instants. We first define the optimal filter in this setting, and derive a recursive expression for it in the form of a continuous-discrete filter. Our main result is oriented at comparing the performance of the proposed filter with the continuous-time counterpart, that is, the classical Wonham filter obtained from continuous observation process. In particular, we show that by taking the sampling process to be a Poisson counter, and increasing the mean sampling rate, the expected value of the posterior conditional distribution of continuous-discrete filter converges to the posterior distribution of a purely continuous Wonham filter.
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Dates et versions

hal-04161754 , version 1 (13-07-2023)

Identifiants

Citer

Olga Yufereva, Aneel Tanwani. Approximation of Nonlinear Filters for Continuous-Time Markov Chains under Randomly-Sampled Observations. IEEE 61st Conference on Decision and Control (CDC 2022), Dec 2022, Cancun, Mexico. pp.6620-6625, ⟨10.1109/CDC51059.2022.9992749⟩. ⟨hal-04161754⟩
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