Observability and nonlinear filtering

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15 Scopus citations

Abstract

This paper develops a connection between the asymptotic stability of nonlinear filters and a notion of observability. We consider a general class of hidden Markov models in continuous time with compact signal state space, and call such a model observable if no two initial measures of the signal process give rise to the same law of the observation process. We demonstrate that observability implies stability of the filter, i.e., the filtered estimates become insensitive to the initial measure at large times. For the special case where the signal is a finite-state Markov process and the observations are of the white noise type, a complete (necessary and sufficient) characterization of filter stability is obtained in terms of a slightly weaker detectability condition. In addition to observability, the role of controllability is explored. Finally, the results are partially extended to non-compact signal state spaces.

Original languageEnglish (US)
Pages (from-to)35-74
Number of pages40
JournalProbability Theory and Related Fields
Volume145
Issue number1-2
DOIs
StatePublished - Sep 1 2009
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Analysis
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Asymptotic stability
  • Controllability
  • Detectability
  • Hidden Markov models
  • Nonlinear filtering
  • Observability

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