Extended Kalman Filter-Based State Estimation for a Nine-Compartment Nonlinear Epidemic Model -- Convergence Analysis and In-Silico Benchmark Calibrated on the COVID-19 Third Wave in Italy

Abstract

This paper addresses real-time state estimation for a nine-compartment nonlinear COVID-19 epidemic model with two co-circulating strains, a super-spreader subpopulation, vaccination with waning immunity, hospitalization, and mortality. Time-varying transmission and vaccination rates are known inputs from a companion calibration, leaving the reconstruction of all nine states from three routinely reported observables: hospitalizations H, fatalities F, and vaccinated stock V. The contributions are theoretical rather than in the filter recursion. First, a Lie-derivative observability analysis yields, via a six-step derivation, the closed-form determinant |det(O9)| = delta_w * gamma_a^2 * kappa * rho2 * w1^2 * (delta_i - delta_p)^2 * |r1 - r2|, showing the level-2 codistribution is rank-deficient at the calibrated symmetric parameters (delta_i = delta_p, r1 = r2); the third Lie derivative restores full rank 9, with r2 the symmetry-breaking parameter. Second, an EKF is designed on the Euler-discretized dynamics with a closed-form 9x9 Jacobian and Joseph covariance update. Third, local exponential mean-square boundedness of the error is proved as a full theorem via the Reif-Gunther-Yaz-Unbehauen hypotheses, exploiting the bilinear drift and linear output to obtain a global-radius quadratic remainder bound that extends to bilinear-drift, linear-output systems. Fourth, the noise covariances are designed from calibration residuals and assessed by NEES and innovation-whiteness tests. All experiments use synthetic measurements from the calibrated model, so reported RMSE values (0.07%-2.72%) are methodology benchmarks, not predictive accuracy. A parameter-mismatch study shows measured and directly-coupled channels stay accurate under model error up to +/-30% while indirectly observed states degrade gracefully. The framework provides the state-feedback basis for future Model Predictive Control.