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Rao-Blackwellized particle filter for Markov modulated nonlinear dynamic systems
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. (Sensor Fusion)
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. Swedish Defence Research Agency (FOI), Linköping, Sweden.ORCID iD: 0000-0002-1971-4295
2014 (English)In: Statistical Signal Processing (SSP), 2014 IEEE Workshop on, IEEE , 2014, 272-275 p.Conference paper, Published paper (Refereed)
Abstract [en]

The Markov modulated (switching) state space is an important model paradigm in statistical signal processing. In this article, we specifically consider Markov modulated nonlinear state-space models and address the online Bayesian inference problem for such models. In particular, we propose a new Rao-Blackwellized particle filter for the inference task which is our main contribution here. A detailed description of the problem and an algorithm is presented.

Place, publisher, year, edition, pages
IEEE , 2014. 272-275 p.
Keyword [en]
Rao-Blackwellized particle filter, Markov regime switching, switching nonlinear state space, Jump Markov nonlinear systems
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-107395DOI: 10.1109/SSP.2014.6884628ISI: 000361019700069Scopus ID: 2-s2.0-84907396457ISBN: 9781479949755 (print)OAI: oai:DiVA.org:liu-107395DiVA: diva2:723835
Conference
IEEE statistical signal processing workshop (SSP 2014), Gold Coast, Australia, 29 June – 2 July 2014
Funder
Swedish Research Council, CADICSSwedish Foundation for Strategic Research , COOPLOC
Available from: 2014-06-11 Created: 2014-06-11 Last updated: 2015-10-19Bibliographically approved

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fulltext(380 kB)345 downloads
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File name FULLTEXT02.pdfFile size 380 kBChecksum SHA-512
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Publisher's full textScopushttp://www.ee.unimelb.edu.au/SSP2014/index.html

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Saha, SaikatHendeby, Gustaf

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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