Scholarlink

<p>We study the celebrated Shiryaev-Wonham filter (Wonham, W.M., in J. Soc. Ind. Appl. Math. 347–369, 1964) in its historical setup, where the hidden Markov jump process has two states. We are interested in the weak noise regime for the observation equation. Interestingly, this becomes a strong noise regime for the filtering equations. Earlier results of the authors show the appearance of spikes in the filtered process, akin to a metastability phenomenon. This paper is aimed at understanding the smoothed optimal filter, which is relevant for any system with feedback. In particular, we exhibit a sharp phase transition between a spiking regime and a regime with perfect smoothing.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

To spike or not to spike: the whims of the Wonham filter in the strong noise regime

  • 期刊论文

  • 发表日期：

    2025年11月11日

查看全文
  • Cédric Bernardin,
  • Reda Chhaibi,
  • Joseph Najnudel,
  • Clément Pellegrini

摘要

We study the celebrated Shiryaev-Wonham filter (Wonham, W.M., in J. Soc. Ind. Appl. Math. 347–369, 1964) in its historical setup, where the hidden Markov jump process has two states. We are interested in the weak noise regime for the observation equation. Interestingly, this becomes a strong noise regime for the filtering equations. Earlier results of the authors show the appearance of spikes in the filtered process, akin to a metastability phenomenon. This paper is aimed at understanding the smoothed optimal filter, which is relevant for any system with feedback. In particular, we exhibit a sharp phase transition between a spiking regime and a regime with perfect smoothing.