To spike or not to spike: the whims of the Wonham filter in the strong noise regime

TL;DR

This paper investigates the behavior of the Shiryaev-Wonham filter in a strong noise setting, revealing a phase transition between spiking and perfect smoothing regimes, with implications for feedback systems.

Contribution

It characterizes a sharp phase transition in the filtered process under strong noise, extending understanding of metastability phenomena in filtering theory.

Findings

Identification of a phase transition between spiking and smoothing regimes

Demonstration of metastability phenomena in the filtered process

Analysis relevant for feedback system applications

Abstract

We study the celebrated Shiryaev-Wonham filter (1964) in its historical setup where the hidden Markov jump process has two states. We are interested in the weak noise regime for the observation equation. Interestingly, this becomes a strong noise regime for the filtering equations. Earlier results of the authors show the appearance of spikes in the filtered process, akin to a metastability phenomenon. This paper is aimed at understanding the smoothed optimal filter, which is relevant for any system with feedback. In particular, we exhibit a sharp phase transition between a spiking regime and a regime with perfect smoothing.