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Two-Time-Scale Approximation for Wonham Filters

Zhang, Qing; Yin, George; Moore, John


This paper is concerned with approximation of Wonham filters. A focal point is that the underlying hidden Markov chain has a large state space. To reduce computational complexity, a two-time-scale approach is developed. Under time scale separation, the state space of the underlying Markov chain is divided into a number of groups such that the chain jumps rapidly within each group and switches occasionally from one group to another. Such structure gives rise to a limit Wonham filter that...[Show more]

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
Source: IEEE Transactions on Information Theory
DOI: 10.1109/TIT.2007.894676


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