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Rao-Blackwellized Particle Smoothers for Mixed Linear/Nonlinear State-Space Models
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2011 (English)Report (Other academic)
Abstract [en]

We consider the smoothing problem for a class of conditionally linear Gaussian state-space (CLGSS) models, referred to as mixed linear/nonlinear models. In contrast to the better studied hierarchical CLGSS models, these allow for an intricate cross dependence between the linear and the nonlinear parts of the state vector. We derive a Rao-Blackwellized particle smoother (RBPS) for this model class by exploiting its tractable substructure. The smoother is of the forward filtering/backward simulation type. A key feature of the proposed method is that, unlike existing RBPS for this model class, the linear part of the state vector is marginalized out in both the forward direction and in the backward direction.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2011. , 16 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 3018
Keyword [en]
Rao-Blackwellization, Particle smoothing, Backward simulation, Sequential Monte Carlo
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-97958ISRN: LiTH-ISY-R-3018OAI: oai:DiVA.org:liu-97958DiVA: diva2:650797
Projects
CNDMCADICS
Funder
Swedish Research Council, 621-2010-5876
Available from: 2013-09-23 Created: 2013-09-23 Last updated: 2014-09-01Bibliographically approved

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Lindsten, FredrikSchön, Thomas B.

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CiteExportLink to record
Permanent link

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