CUED Publications database

Rao-Blackwellized particle smoothers for mixed linear/nonlinear state-space models

Lindsten, F and Bunch, P and Godsill, SJ and Schon, TB (2013) Rao-Blackwellized particle smoothers for mixed linear/nonlinear state-space models. In: UNSPECIFIED pp. 6288-6292..

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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. © 2013 IEEE.

Item Type: Conference or Workshop Item (UNSPECIFIED)
Divisions: Div F > Signal Processing and Communications
Depositing User: Cron Job
Date Deposited: 17 Jul 2017 19:12
Last Modified: 22 Oct 2019 08:24
DOI: 10.1109/ICASSP.2013.6638875