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Unique Ergodicity of Non-Linear Filters via Reachability and Uniform Weak Continuity

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arxiv 2307.15764 v4 pith:GOWZ64JC submitted 2023-07-28 math.PR

classification math.PR
keywords spacereachabilityergodicityestablishfiltermetricnon-linearpolish
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We present a reachability based approach to establish unique ergodicity of non-linear filter processes where state space of a hidden Markov model is a compact Polish metric space and the observation space is a Polish metric space. We also establish a weak convergence result on occupation measures under such a reachability condition. Our conditions, which are explicit, are complementary to those based on filter stability as demonstrated in examples.

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  1. Partially Observed Optimal Stochastic Control: Regularity, Optimality, Approximations, and Learning

    math.OC 2024-12 conditional novelty 2.0 of 10

    A survey of regularity, approximation, and reinforcement learning guarantees for partially observed Markov decision processes, drawing mostly on the authors' earlier work.

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