Optimal projection filters with information geometry

Abstract

AbstractWe review the introduction of several types of projection filters. Projection structures coming from information geometry are used to obtain a finite dimensional filter in the form of a stochastic differential equation (SDE), starting from the exact infinite-dimensional stochastic partial differential equation (SPDE) for the optimal filter. We start with the Stratonovich projection filters based on the Hellinger distance as introduced and developed in Brigo et al. (IEEE Trans Autom Control 43(2):247–252, 1998, Bernoulli 5(3):495–534, 1999), where the SPDE is put in Stratonovich form before projection, hence the term “Stratonovich projection”. The correction step of the filtering algorithm can be made exact by choosing a suitable exponential family as manifold, there is equivalence with assumed density filters and numerical examples have been studied. Other authors further developed these projection filters and we present a brief literature review. A second type of Stratonovich projection filters was introduced in Armstrong and Brigo (Math Control Signals Syst 28(1):1–33, 2016) where a direct $$L^2$$ L 2 metric is used for projection. Projecting on mixtures of densities as a manifold coincides with Galerkin methods. All the above projection filters lack optimality, as the single vector fields of the Stratonovich SPDE are projected optimally but the SPDE solution as a whole is not approximated optimally by the projected SDE solution according to a clear criterion. This led to the optimal projection filters in Armstrong et al. (Proc Lond Math Soc 119(1):176–213, 2019, Projection of SDEs onto submanifolds. “Information Geometry”, 2023 special issue on half a century of information geometry, 2018), based on the Ito vector and Ito jet projections, where several types of mean square distances between the optimal filter SPDE solution and the sought finite dimensional SDE approximations are minimized, with numerical examples. After reviewing the above developments, we conclude with the remaining challenges.