NDLI: Rao-Blackwellized Particle Smoothers for Conditionally Linear Gaussian Models

Content Provider	IEEE Xplore Digital Library
Author	Lindsten, F. Bunch, P. Sarkka, S. Schon, T. B. Godsill, S. J.
Copyright Year	2007
Abstract	Sequential Monte Carlo (SMC) methods, such as the particle filter, are by now one of the standard computational techniques for addressing the filtering problem in general state-space models. However, many applications require post-processing of data offline. In such scenarios the smoothing problem—in which all the available data is used to compute state estimates—is of central interest. We consider the smoothing problem for a class of conditionally linear Gaussian models. We present a forward-backward-type Rao-Blackwellized particle smoother (RBPS) that is able to exploit the tractable substructure present in these models. Akin to the well known Rao-Blackwellized particle filter, the proposed RBPS marginalizes out a conditionally tractable subset of state variables, effectively making use of SMC only for the “intractable part” of the model. Compared to existing RBPS, two key features of the proposed method are: 1) it does not require structural approximations of the model, and 2) the aforementioned marginalization is done both in the forward direction and in the backward direction.
Sponsorship	IEEE Signal Processing Society
Starting Page	353
Ending Page	365
Page Count	13
File Size	2934765
File Format	PDF
ISSN	19324553
Volume Number	10
Issue Number	2
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2016-01-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Smoothing methods Approximation methods Biological system modeling Trajectory Computational modeling Signal processing algorithms Monte Carlo methods backward sampling particle filters particle smoothers Rao-Blackwellization
Content Type	Text
Resource Type	Article
Subject	Signal Processing Electrical and Electronic Engineering

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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