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A scalar Gaussian state-space update by completing the square

Example

Take scalar state spaces and horizon $T = 1$ . Let $X_{0} \sim N (0, 1)$ , $K_{1} (x, d x_{1}) = N (x, 1) (d x_{1})$ , and $G_{1} (x_{1}, d y) = N (x_{1}, 1) (d y)$ , with the standard Lebesgue densities. Observe $Y_{1} = 2$ . The predictive state law is $N (0, 2)$ , the evidence density at $2$ is $z_{1} (2) = e^{- 2 / 3} / \sqrt{6 π} > 0$ , and the filtering version selected by the specified dominated density formula has value $N (4 / 3, 2 / 3)$ . Since the singleton ${2}$ has observation probability zero, another conditional-law version may take a different value there.

Verification

Given: AC, the one-step scalar model, and the observed value in the Example.

[A1] AC states that every family of nonempty sets has a choice function. The Axiom of Choice

[F1] The standard normal density is $f (u) = e^{- u^{2} / 2} / \sqrt{2 π}$ , and $N (m, σ^{2})$ is its affine image $m + σ Z$ ; hence translated normal kernels have densities $f (y - m)$ . Standard normal and normal laws

[F2] $\int_{- \infty}^{\infty} e^{- u^{2}} d u = \sqrt{π}$ . The Gaussian integral $\int_{- \infty}^{\infty} e^{- x^{2}} d x = \sqrt{π}$

[F3] Translation of a set $B$ by $a$ is $B + a$ , and Lebesgue measure is translation invariant on measurable sets. Translation of a subset of $R^{n}$ , Lebesgue outer measure, Lebesgue measurability and Lebesgue measure are unchanged by translation

[F4] AC implies Countable Choice. AC supplies countable selections and prescribed serial paths, The Axiom of Countable Choice ( ${A C}_{ω}$ )

[F5] Under Countable Choice, dilation by nonzero $c$ changes Lebesgue measure by the factor $∣ c ∣$ . For a nonzero real $c$ , dilation by $c$ multiplies Lebesgue outer measure by $∣ c ∣^{n}$ , and reflection in the origin preserves it

[F6] Nonnegative measurable functions admit increasing simple approximations, and monotone limits pass through their integrals. Every nonnegative measurable function is the increasing limit of simple measurable functions, Monotone convergence for the integral

[F7] For dominated observations, the exact filtering update uses the density formula only at finite positive evidence. Exact state-space filtering recursion under dominated observations

[F8] The finite-horizon state-space law is the iterated product of its transition and observation kernels, with existence supplied by the kernel-law theorem. General finite-horizon state-space models by kernels, Finite-horizon state-space kernel law exists and is unique

[F9] The recursive procedure defines the prediction and density-update version, using the predictive measure as its bad-evidence filler. Recursive Bayesian filtering under dominated observations

[F10] Under Countable Choice, every continuous map between Euclidean spaces is Borel measurable. Continuous functions on Euclidean spaces are Borel measurable

[F11] Under Countable Choice, Borel sets are Lebesgue measurable, so Borel functions are Lebesgue measurable. Assuming countable choice, every Borel subset of $R^{n}$ is Lebesgue measurable

[F12] $B (R) \otimes B (R) = B (R^{2})$ . The Borel product of R^m and R^n is the Borel sigma-algebra of R^{m+n}

[F13] Under Countable Choice, Lebesgue measure is a measure extending half-open interval length and is sigma-finite with the exhaustion $(- k, k]$ , $k \geq 1$ . Assuming countable choice, $L (R^{n})$ is a sigma-algebra containing every elementary set and $λ_{n}$ is a complete measure extending elementary volume, Lebesgue measure is sigma-finite, and every metrically bounded subset of $R^{n}$ has finite outer measure

[F14] A probability kernel has probability-measure sections and measurable evaluations. Integration of a nonnegative product-measurable function against a uniformly sigma-finite kernel with a specified common exhaustion is measurable. Measure kernel and probability kernel, Measurability of integration against a kernel

[F15] Measures are monotone, and the integral of a nonnegative measurable function over a measurable null set is zero. Measures are monotone, A nonnegative integral over a null set vanishes

[F16] For a nonnegative product-measurable function on two sigma-finite measure spaces, Tonelli's theorem gives measurable section integrals and permits either order of integration. Tonelli's theorem for nonnegative measurable functions on a sigma-finite product

1.1A1F4F10F11F12F13F14givenconstruct

Equip all scalar state and observation spaces with $B (R)$ , and let $ν_{1}$ be Lebesgue measure restricted to this sigma-algebra. By [A1] and [F4], Countable Choice is available. By [F13], $(- k, k]$ is a common finite-mass exhaustion, so both $ν_{1}$ and the constant measure kernel $L (x, B) = ν_{1} (B)$ are sigma-finite in the required sense. The constant evaluations are measurable. By [F10] and [F12], $(x, y) \mapsto f (y - x)$ is measurable for the product Borel sigma-algebra. By [F11], its one-variable Borel sections and the simple approximations used below are also Lebesgue measurable.

2.1F1F3F6F7F8F11F14step 1.1construct

For a Borel set $B$ , $P (x + Z \in B) = \int_{B - x} f (u) d u = \int_{B} f (y - x) d y$ : [F3] gives the translated integral identity for indicators, finite sums give it for simple functions, and [F6] and [F11] extend it to nonnegative Borel functions. Thus the transition and observation sections are the probability laws $N (x, 1)$ and have densities $f (x_{1} - x)$ and $f (y - x_{1})$ , whose integrals are one. For fixed Borel $B$ , apply [F14] to the product-measurable integrand $1_{B} (y) f (y - x)$ and the constant kernel $L$ from step 1.1. Its integral is Borel measurable in $x$ . Hence these location families are probability kernels, and their product-measurable normalized densities with sigma-finite $ν_{1}$ meet the premises of [F7] and [F8].

3.1F1F2F3F5F6F8F11F16step 1.1step 2.1algebra

For every Borel set $B$ , the path law [F8], step 2.1 and simple approximation [F6] give $P (X_{1} \in B) = \int_{R} \int_{B} f (u) f (x - u) ν_{1} (d x) ν_{1} (d u)$ . The integrand $1_{B} (x) f (u) f (x - u)$ is nonnegative and product-measurable, and both copies of $ν_{1}$ are sigma-finite by step 1.1. Thus [F16] gives $P (X_{1} \in B) = \int_{B} [\int_{R} f (u) f (x - u) ν_{1} (d u)] ν_{1} (d x)$ . The predictive density is therefore $\int f (u) f (x - u) d u = \frac{e^{- x^{2} / 4}}{2 π} \int e^{- (u - x / 2)^{2}} d u = \frac{1}{\sqrt{4 π}} e^{- x^{2} / 4}$ by [F2] and translation. This is the density of $N (0, 2)$ by [F1], dilation [F5], and the simple-approximation argument [F6].

4.1A1F2F4F5F6F11step 3.1algebra

At $y = 2$ , the product density from step 3.1 has exponent $- x^{2} / 4 - (2 - x)^{2} / 2 = - \frac{3}{4} (x - \frac{4}{3})^{2} - \frac{2}{3}$ . By [F5] and [F6], $\int e^{- \frac{3}{4} (x - 4 / 3)^{2}} d x = 2 \sqrt{π / 3}$ , so $z_{1} (2) = \frac{e^{- 2 / 3}}{\sqrt{8 π^{2}}} 2 \sqrt{π / 3} = \frac{e^{- 2 / 3}}{\sqrt{6 π}} \in (0, \infty)$ .

5.1A1F1F3F5F7F9F11F13F15step 4.1algebra∎

Dividing the product density by the evidence in step 4.1 leaves $\frac{1}{\sqrt{4 π / 3}} e^{- \frac{3}{4} (x - 4 / 3)^{2}}$ , the normal density with mean $4 / 3$ and variance $2 / 3$ by [F1,F5]; since $0 < z_{1} (2) < \infty$ , [F7] and [F9] identify it as the filtering-kernel value returned by the recursive procedure. The closed singleton ${0}$ is measurable by [F11]; [F13] and [F15] give $0 \leq a : = λ ({0}) \leq λ ([0, 1)) = 1$ . Dilation by $2$ in [F5] gives $a = 2 a$ , so $a = 0$ ; translation [F3] gives $ν_{1} ({2}) = 0$ . The observation marginal has density $z_{1}$ by [F7], so [F15] yields $P (Y_{1} = 2) = \int_{{2}} z_{1} (y) ν_{1} (d y) = 0$ . Thus this selected value is a valid version, not a pointwise uniqueness claim. There is no numerical approximation or asymptotic argument.

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Sources

Simo Särkkä and Lennart Svensson, Bayesian Filtering and Smoothing, 2nd ed., Chapter 6 (standard reference, not scraped)
Arnaud Doucet and Adam M. Johansen, A Tutorial on Particle Filtering and Smoothing: Fifteen Years Later, Example 2 and §2.2 (standard reference, not scraped)