A counterexample to aggregation based model reduction of Hidden Markov Models
Georgios Kotsalis, Jeff S. Shamma · 2011
This paper highlights a limitation of state space aggregation based model reduction of Hidden Markov Models. We construct an n̂ dimensional Hidden Markov Model that is equivalent to a lower dimensional one of order n <; n̂ for which aggregation based reduction of the high dimensional model is guaranteed not to produce an error free low dimensional model of order n.