Abstract
For sequential probabilistic inference in nonlinear non-Gaussian systems, approximate solutions must be used. We present a novel recursive Bayesian estimation algorithm that combines an importance sampling based measurement update step with a bank of sigma-point Kalman filters for the time-update and proposal distribution generation. The posterior state density is represented by a Gaussian mixture model that is recovered from the weighted particle set of the measurement update step by means of a weighted EM algorithm. This step replaces the resampling stage needed by most particle filters and mitigates the "sample depletion" problem. We show that this new approach has an improved estimation performance and reduced computational complexity compared to other related algorithms.
Keywords
Particle filterKalman filterAlgorithmGaussianResamplingState spaceComputer scienceProbabilistic logicState-space representationImportance samplingAuxiliary particle filterExtended Kalman filterMathematicsEnsemble Kalman filterArtificial intelligenceStatisticsMonte Carlo method
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Publication Info
- Year
- 2004
- Type
- article
- Volume
- 1
- Pages
- VI-701
- Citations
- 150
- Access
- Closed
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Cite This
Rudolph van der Merwe,
Eric A. Wan
(2004).
Gaussian mixture sigma-point particle filters for sequential probabilistic inference in dynamic state-space models.
2003 IEEE International Conference on Acoustics, Speech, and Signal Processing, 2003. Proceedings. (ICASSP '03).
, 1
, VI-701.
https://doi.org/10.1109/icassp.2003.1201778
Identifiers
- DOI
- 10.1109/icassp.2003.1201778