Unique Ergodicity of Non-Linear Filters via Reachability and Uniform Weak Continuity

Abstract

We present a reachability based approach to establish unique ergodicity of non-linear filter processes where state space of a hidden Markov model is a compact Polish metric space and the observation space is a Polish metric space. We also establish a weak convergence result on occupation measures under such a reachability condition. Our conditions, which are explicit, are complementary to those based on filter stability as demonstrated in examples.