NDLI: Kullback–Leibler divergence for interacting multiple model estimation with random matrices

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Kullback–Leibler divergence for interacting multiple model estimation with random matrices

Content Provider	IET Digital Library
Author	Li, Wenling Jia, Yingmin
Abstract	The problem of interacting multiple model (IMM) estimation for jump Markov linear systems with unknown measurement noise covariance is studied. The system state and the unknown covariance are jointly estimated, where the unknown covariance is modelled as a random matrix according to an inverse-Wishart distribution. For the IMM estimation with random matrices, one difficulty encountered is the combination of a set of weighted inverse-Wishart distributions. Instead of using the moment matching approach, this difficulty is overcome by minimising the weighted Kullback–Leibler divergence for inverse-Wishart distributions. It is shown that a closed-form solution can be derived for the optimisation problem and the resulting solution coincides with an inverse-Wishart distribution. Simulation results show that the proposed filter outperforms the previous work using the moment matching approach.
Starting Page	12
Ending Page	18
Page Count	7
ISSN	17519675
Volume Number	10
e-ISSN	17519683
Issue Number	Issue 1, Feb (2016)
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/iet-spr/10/1
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/10.1049/iet-spr.2015.0149
Journal	IET Signal Processing
Publisher Date	2016-02-01
Access Restriction	Open
Rights Holder	© The Institution of Engineering and Technology
Subject Keyword	Covariance Matrices Filtering Method in Signal Processing Filtering Theory IMM Interacting Multiple Model Estimation Inverse Problem Jump Markov Linear System Linear Algebra Linear System Markov Processes Measurement Error Method of Moments Minimisation Moment Matching Approach Numerical Analysis Optimisation Problem Optimisation Technique Random Matrix Random Processes Signal Processing Theory State Estimation Statistical Distribution System State Estimation Unknown Measurement Noise Covariance Weighted Inverse-Wishart Distribution Weighted Kullback-Leibler Divergence Minimisation
Content Type	Text
Resource Type	Article
Subject	Signal Processing Electrical and Electronic Engineering

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