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The aim of this paper is to approximate a Finite-State Markov (FSM) process by another process defined on a lower dimensional state space, called the approximating process, with respect to a total variation distance fidelity criterion. The approximation problem is formulated as an optimization problem using two different approaches. The first approach is based on approximating the transition probability matrix of the FSM process by a lower-dimensional transition probability matrix, resulting in an approximating process which is a Finite-State Hidden Markov (FSHM) process. The second approach is based on approximating the invariant probability vector of the original FSM process by another invariant probability vector defined on a lower-dimensional state space. Going a step further, a method is proposed based on optimizing a Kullback-Leibler divergence to approximate the FSHM processes by FSM processes. The solutions of these optimization problems are described by optimal partition functions which aggregate the states of the FSM process via a corresponding water-filling solution, resulting in lower-dimensional approximating processes which are FSHM or FSM processes. Throughout the paper, the theoretical results are justified by illustrative examples that demonstrate our proposed methodology. [ABSTRACT FROM AUTHOR]

The aim of this paper is to investigate extremum problems with pay-off being the total variation distance metric defined on the space of probability measures, subject to linear functional constraints on the space of probability measures, and vice-versa; that is, with the roles of total variation metric and linear functional interchanged. Utilizing concepts from signed measures, the extremum probability measures of such problems are obtained in closed form, by identifying the partition of the support set and the mass of these extremum measures on the partition. The results are derived for abstract spaces; specifically, complete separable metric spaces known as Polish spaces, while the high level ideas are also discussed for denumerable spaces endowed with the discrete topology. These extremum problems often arise in many areas, such as, approximating a family of probability distributions by a given probability distribution, maximizing or minimizing entropy subject to total variation distance metric constraints, quantifying uncertainty of probability distributions by total variation distance metric, stochastic minimax control, and in many problems of information, decision theory, and minimax theory. [ABSTRACT FROM PUBLISHER]