Lumpable Hidden Markov Models - Model Reduction and Reduced Complexity Filtering
This paper is concerned with filtering of hidden Markov processes (HMPs) which possess (or approximately possess) the property of lumpability. This property is a generalization of the property of lumpability of a Markov chain which has been previously addressed by others. In essence, the property of lumpability means that there is a partition of the (atomic) states of the Markov chain into aggregated sets which act in a similar manner as far as the state dynamics and observation statistics are...[Show more]
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|Source:||IEEE Transactions on Automatic Control|
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