liu.seSearch for publications in DiVA
Change search
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
Mixture Kalman Filters and Beyond
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering. (Sensor Fusion)
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering. (Sensor Fusion)ORCID iD: 0000-0002-1971-4295
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering. (Sensor Fusion)
2015 (English)In: Current Trends in Bayesian Methodology with Applications / [ed] Satyanshu K. Upadhyay, Umesh Singh, Dipak K. Dey, Appaia Loganathan, Boca Raton: Chapman and Hall/CRC Press, Taylor & Frances , 2015, 537-562 p.Chapter in book (Refereed)
Abstract [en]

The discrete time general state-space model is a flexible framework to deal with the nonlinear and/or non-Gaussian time series problems. However, the associated (Bayesian) inference problems are often intractable. Additionally, for many applications of interest, the inference solutions are required to be recursive over time. The particle filter (PF) is a popular class of Monte Carlo based numerical methods to deal with such problems in real time. However, PF is known to be computationally expensive and does not scale well with the problem dimensions. If a part of the state space is analytically tractable conditioned on the remaining part, the Monte Carlo based estimation is then confined to a space of lower dimension, resulting in an estimation method known as the Rao-Blackwellized particle filter (RBPF).

In this chapter, we present a brief review of Rao-Blackwellized particle filtering. Especially, we outline a set of popular conditional tractable structures admitting such Rao-Blackwellization in practice. For some special and/or relatively new cases, we also provide reasonably detailed descriptions.We confine our presentation mostly to the practitioners’ point of view.

Place, publisher, year, edition, pages
Boca Raton: Chapman and Hall/CRC Press, Taylor & Frances , 2015. 537-562 p.
Keyword [en]
Rao-Blackwellized particle filter; sequential Monte Carlo; marginalized particle filter
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-118279DOI: 10.1201/b18502-27ISBN: 978-1-4822-3511-1 (print)ISBN: 978-1-4822-3512-8 (print)OAI: oai:DiVA.org:liu-118279DiVA: diva2:813818
Projects
COOP-LOCCADICS
Funder
Linnaeus research environment CADICSSwedish Foundation for Strategic Research
Note

This is a review article on the models admitting Rao-Blackwellization in particle filtering.

Available from: 2015-05-25 Created: 2015-05-25 Last updated: 2015-09-22Bibliographically approved

Open Access in DiVA

fulltext(415 kB)384 downloads
File information
File name FULLTEXT02.pdfFile size 415 kBChecksum SHA-512
bcd1ac3acfc7a070dc7c8586fc9205387457de2313ec56f0b2c540facb182e519327ffd4198ec90ef425d4020125ad81bf82bffa711022f4d43516c6e5667570
Type fulltextMimetype application/pdf

Other links

Publisher's full textfind book in another country/hitta boken i ett annat land

Authority records BETA

Saha, SaikatHendeby, GustafGustafsson, Fredrik

Search in DiVA

By author/editor
Saha, SaikatHendeby, GustafGustafsson, Fredrik
By organisation
Automatic ControlFaculty of Science & Engineering
Signal Processing

Search outside of DiVA

GoogleGoogle Scholar
Total: 384 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

doi
isbn
urn-nbn

Altmetric score

doi
isbn
urn-nbn
Total: 824 hits
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