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    Reduced complexity estimation for large scale hidden Markov models

    Dey, Subhrakanti and Mareels, Iven (2003) Reduced complexity estimation for large scale hidden Markov models. In: 2003 European Control Conference (ECC). IEEE, pp. 2613-2618. ISBN 9783952417379

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    In this paper, we address the problem of reduced-complexity estimation of general large-scale hidden Markov models with underlying nearly completely decomposable discrete-time Markov chains and finite-state outputs. An algorithm is presented that computes O(ε) (where e is the related weak coupling parameter) approximations to the aggregate and full-order filtered estimates with substantial computational savings. These savings are shown to be quite large when the chains have blocks with small individual dimensions. Some simulation studies are presented to demonstrate the performance of the algorithm.

    Item Type: Book Section
    Additional Information: Cite as: S. Dey and I. Mareels, "Reduced complexity estimation for large scale hidden Markov models," 2003 European Control Conference (ECC), 2003, pp. 2613-2618, doi: 10.23919/ECC.2003.7086435.
    Keywords: hidden Markov models; state estimation; computational complexity; Markov chains; nearly completely decomposable;
    Academic Unit: Faculty of Science and Engineering > Electronic Engineering
    Faculty of Science and Engineering > Research Institutes > Hamilton Institute
    Item ID: 14444
    Identification Number:
    Depositing User: Subhrakanti Dey
    Date Deposited: 19 May 2021 16:46
    Publisher: IEEE
    Refereed: Yes
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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