Projection based dimensionality reduction for measure valued evolution equations in statistical manifolds

Abstract

We propose a dimensionality reduction method for infinite-dimensional measure-valued evolution equations such as the Fokker-Planck partial differential equation or the Kushner-Stratonovich resp. Duncan-Mortensen-Zakai stochastic partial differential equations of nonlinear filtering, with potential applications to signal processing, quantitative finance, heat flows and quantum theory among many other areas. Our method is based on the projection coming from a duality argument built in the exponential statistical manifold structure developed by G. Pistone and co-authors. The choice of the finite dimensional manifold on which one should project the infinite dimensional equation is crucial, and we propose finite dimensional exponential and mixture families. This same problem had been studied, especially in the context of nonlinear filtering, by D. Brigo and co-authors but the $L^2$ structure on the space of square roots of densities or of densities themselves was used, without taking an infinite dimensional manifold environment space for the equation to be projected. Here we re-examine such works from the exponential statistical manifold point of view, which allows for a deeper geometric understanding of the manifold structures at play. We also show that the projection in the exponential manifold structure is consistent with the Fisher Rao metric and, in case of finite dimensional exponential families, with the assumed density approximation. Further, we show that if the sufficient statistics of the finite dimensional exponential family are chosen among the eigenfunctions of the backward diffusion operator then the statistical-manifold or Fisher-Rao projection provides the maximum likelihood estimator for the Fokker Planck equation solution. We finally try to clarify how the finite dimensional and infinite dimensional terminology for exponential and mixture spaces are related.