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Rao–Blackwellized particle smoothers for conditionally linear Gaussian models
Uppsala universitet, Avdelningen för systemteknik, Sweden.
Department of Engineering, University of Cambridge, Cambridge, UK.
Department of Electrical Engineering and Automation, Aalto University, Aalto, Finland.
Uppsala universitet, Avdelningen för systemteknik, Sweden.
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2016 (English)In: IEEE Journal on Selected Topics in Signal Processing, ISSN 1932-4553, E-ISSN 1941-0484, Vol. 10, no 2, p. 353-365Article in journal (Refereed) Published
Abstract [en]

Sequential Monte Carlo (SMC) methods, such as the particle filter, are by now one of the standard computational techniques for addressing the filtering problem in general state-space models. However, many applications require post-processing of data offline. In such scenarios the smoothing problem-in which all the available data is used to compute state estimates-is of central interest. We consider the smoothing problem for a class of conditionally linear Gaussian models. We present a forward-backward-type Rao-Blackwellized particle smoother (RBPS) that is able to exploit the tractable substructure present in these models. Akin to the well known Rao-Blackwellized particle filter, the proposed RBPS marginalizes out a conditionally tractable subset of state variables, effectively making use of SMC only for the “intractable part” of the model. Compared to existing RBPS, two key features of the proposed method are: 1) it does not require structural approximations of the model, and 2) the aforementioned marginalization is done both in the forward direction and in the backward direction.

Place, publisher, year, edition, pages
IEEE, 2016. Vol. 10, no 2, p. 353-365
Keywords [en]
—Monte Carlo methods, particle filters, particle smoothers, Rao-Blackwellization, backward sampling
National Category
Signal Processing Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-159814DOI: 10.1109/JSTSP.2015.2506543ISI: 000370957200011OAI: oai:DiVA.org:liu-159814DiVA, id: diva2:1344806
Funder
Swedish Research Council, 637-2014-466Swedish Research Council, 621-2013-5524Available from: 2016-02-12 Created: 2019-08-22 Last updated: 2019-08-23

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Lindsten, FredrikSchön, Thomas B.

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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