Limits of performance for the model reduction problem of hidden Markov models
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AbstractWe introduce system theoretic notions of a Hankel operator, and Hankel norm for hidden Markov models. We show how the related Hankel singular values provide lower bounds on the norm of the difference between a hidden Markov model of order n and any lower order approximant of order n̂ < n.
CitationKotsalis, G. and Shamma, J.S., 2015, December. Limits of performance for the model reduction problem of hidden Markov models. In Decision and Control (CDC), 2015 IEEE 54th Annual Conference on (pp. 4674-4679). IEEE.
Conference/Event name2015 54th IEEE Conference on Decision and Control (CDC)