Relative entropy rate based multiple hidden Markov Model Approximation
This paper proposes a novel relative entropy rate (RER) based approach for multiple HMM (MHMM) approximation of a class of discrete-time uncertain processes. Under different uncertainty assumptions, the model design problem is posed either as a min-max optimisation problem or stochastic minimisation problem on the RER between joint laws describing the state and output processes (rather than the more usual RER between output processes). A suitable filter is proposed for which performance results are established which bound conditional mean estimation performance and show that estimation performance improves as the RER is reduced. These filter consistency and convergence bounds are the first results characterising multiple HMM approximation performance and suggest that joint RER concepts provide a useful model selection criteria. The proposed model design process and MHMM filter are demonstrated on an important image processing dim-target detection problem.
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|Item Type:||Journal Article|
|Keywords:||Hidden Markov Model, Relative Entropy Rate, Model Approximation|
|Subjects:||Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)|
Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Probability Theory (010404)
Australian and New Zealand Standard Research Classification > INFORMATION AND COMPUTING SCIENCES (080000) > ARTIFICIAL INTELLIGENCE AND IMAGE PROCESSING (080100) > Image Processing (080106)
|Divisions:||Current > Research Centres > Australian Research Centre for Aerospace Automation|
Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering
Past > Schools > School of Engineering Systems
|Copyright Owner:||Copyright 2010 IEEE|
|Deposited On:||28 Sep 2009 08:19|
|Last Modified:||11 Apr 2013 12:41|
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