Information Geometric Nonlinear Filtering

Abstract: This paper develops information geometric representations for nonlinear filters in continuous time. The posterior distribution associated with an abstract nonlinear filtering problem is shown to satisfy a stochastic differential equation on a Hilbert information manifold. This supports the Fisher metric as a pseudo-Riemannian metric. Flows of Shannon information are shown to be connected with the quadratic variation of the process of posterior distributions in this metric. Apart from providing a suitable setting in which to study such information-theoretic properties, the Hilbert manifold has an appropriate topology from the point of view of multi-objective filter approximations. A general class of finite-dimensional exponential filters is shown to fit within this framework, and an intrinsic evolution equation, involving Amari's $-1$-covariant derivative, is developed for such filters. Three example systems, one of infinite dimension, are developed in detail.