Reduced complexity estimation for large scale hidden Markov models

Abstract

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.