Skip to main content

Lund University Publications

LUND UNIVERSITY LIBRARIES

Iterative Filtering and Smoothing in Nonlinear and Non-Gaussian Systems Using Conditional Moments

Tronarp, Filip LU ; Garcia-Fernandez, Angel F and Särkkä, Simo (2018) In IEEE Signal Processing Letters 25(1). p.408-412
Abstract
This letter presents the development of novel iterated filters and smoothers that only require specification of the conditional moments of the dynamic and measurement models. This leads to generalizations of the iterated extended Kalman filter, the iterated extended Kalman smoother, the iterated posterior linearization filter, and the iterated posterior linearization smoother. The connections to the previous algorithms are clarified and a convergence analysis is provided. Furthermore, the merits of the proposed algorithms are demonstrated in simulations of the stochastic Ricker map where they are shown to have a similar or superior performance to competing algorithms.
Please use this url to cite or link to this publication:
author
; and
publishing date
type
Contribution to journal
publication status
published
subject
in
IEEE Signal Processing Letters
volume
25
issue
1
pages
408 - 412
publisher
IEEE - Institute of Electrical and Electronics Engineers Inc.
external identifiers
  • scopus:85040936544
ISSN
1070-9908
DOI
10.1109/LSP.2018.2794767
language
English
LU publication?
no
id
1bb38258-afb4-42ef-86dc-17345b0bb75b
date added to LUP
2023-08-20 22:32:49
date last changed
2023-11-10 09:53:42
@article{1bb38258-afb4-42ef-86dc-17345b0bb75b,
  abstract     = {{This letter presents the development of novel iterated filters and smoothers that only require specification of the conditional moments of the dynamic and measurement models. This leads to generalizations of the iterated extended Kalman filter, the iterated extended Kalman smoother, the iterated posterior linearization filter, and the iterated posterior linearization smoother. The connections to the previous algorithms are clarified and a convergence analysis is provided. Furthermore, the merits of the proposed algorithms are demonstrated in simulations of the stochastic Ricker map where they are shown to have a similar or superior performance to competing algorithms.}},
  author       = {{Tronarp, Filip and Garcia-Fernandez, Angel F and Särkkä, Simo}},
  issn         = {{1070-9908}},
  language     = {{eng}},
  number       = {{1}},
  pages        = {{408--412}},
  publisher    = {{IEEE - Institute of Electrical and Electronics Engineers Inc.}},
  series       = {{IEEE Signal Processing Letters}},
  title        = {{Iterative Filtering and Smoothing in Nonlinear and Non-Gaussian Systems Using Conditional Moments}},
  url          = {{http://dx.doi.org/10.1109/LSP.2018.2794767}},
  doi          = {{10.1109/LSP.2018.2794767}},
  volume       = {{25}},
  year         = {{2018}},
}