Recursive Filtering and Stochastic Control under Finite Partition-Based Observations

Abstract

We develop a filtering and optimal-control framework for partially observable stochastic systems in which each observation identifies a class of a finite measurable partition of the hidden state space. This structure covers regional-information mechanisms associated with threshold, quantized, censored, event-triggered, and intermittent observations, and allows observable classes with atomic, continuous, or mixed components. The formulation is constructed first at the level of measures: for each observable class, we define a class-restricted unnormalized conditional measure, and the posterior distribution is obtained by normalizing with its predictive probability. Based on this recursion, we introduce an information state consisting of the observed class and the conditional measure supported on it, thereby transforming the original problem into a fully observable Markov decision process. We formulate the discounted-cost criterion, derive the Bellman equation, and establish conditions for the existence of stationary optimal policies. To address the infinite-dimensional nature of the information space, we propose class-dependent finite-dimensional approximations capable of preserving both continuous components and atomic masses. We also derive an abstract bound linking the error of the approximate filter to the error of the value function. A reference model illustrates the construction through histogram-based approximations