Filtering problem

In the theory of stochastic processes, the filtering problem is a mathematical model for a number of state estimation problems in signal processing and related fields. The general idea is to establish a 'best estimate' for the true value of some system from an incomplete, potentially noisy set of observations on that system. The problem of optimal non-linear filtering (even for the non-stationary case) was solved by Ruslan L. Stratonovich (1959, 1960), see also Harold J. Kushner's work and Moshe Zakai's, who introduced a simplified dynamics for the unnormalized conditional law of the filter known as Zakai equation. The solution, however, is infinite-dimensional in the general case. Certain approximations and special cases are well understood: for example, the linear filters are optimal for Gaussian random variables, and are known as the Wiener filter and the Kalman-Bucy filter. More generally, as the solution is infinite dimensional, it requires finite dimensional approximations to be implemented in a computer with finite memory. A finite dimensional approximated nonlinear filter may be more based on heuristics, such as the Extended Kalman Filter or the Assumed Density Filters, or more methodologically oriented such as for example the Projection Filters, some sub-families of which are shown to coincide with the Assumed Density Filters. In the theory of stochastic processes, the filtering problem is a mathematical model for a number of state estimation problems in signal processing and related fields. The general idea is to establish a 'best estimate' for the true value of some system from an incomplete, potentially noisy set of observations on that system. The problem of optimal non-linear filtering (even for the non-stationary case) was solved by Ruslan L. Stratonovich (1959, 1960), see also Harold J. Kushner's work and Moshe Zakai's, who introduced a simplified dynamics for the unnormalized conditional law of the filter known as Zakai equation. The solution, however, is infinite-dimensional in the general case. Certain approximations and special cases are well understood: for example, the linear filters are optimal for Gaussian random variables, and are known as the Wiener filter and the Kalman-Bucy filter. More generally, as the solution is infinite dimensional, it requires finite dimensional approximations to be implemented in a computer with finite memory. A finite dimensional approximated nonlinear filter may be more based on heuristics, such as the Extended Kalman Filter or the Assumed Density Filters, or more methodologically oriented such as for example the Projection Filters, some sub-families of which are shown to coincide with the Assumed Density Filters. In general, if the separation principle applies, then filtering also arises as part of the solution of an optimal control problem. For example, the Kalman filter is the estimation part of the optimal control solution to the linear-quadratic-Gaussian control problem. Consider a probability space (Ω, Σ, P) and suppose that the (random) state Yt in n-dimensional Euclidean space Rn of a system of interest at time t is a random variable Yt : Ω → Rn given by the solution to an Itō stochastic differential equation of the form where B denotes standard p-dimensional Brownian motion, b : [0, +∞) × Rn → Rn is the drift field, and σ : [0, +∞) × Rn → Rn×p is the diffusion field. It is assumed that observations Ht in Rm (note that m and n may, in general, be unequal) are taken for each time t according to