KALMAN FILTERING APPROXIMATIONS IN TRIPLET MARKOV GAUSSIAN SWITCHING MODELS

被引：0

作者：

Abbassi, Noufel ^{[1
]}

Benboudjema, Dalila ^{[2
]}

Pieczynski, Wojciech ^{[1
]}

机构：

[1] Telecom Sudparis, Inst Telecom, CNRS, Dept CITI,UMR 5157, 9 Rue Charles Fourier, F-91000 Evry, France

[2] Univ Cergy Pontoise, CNRS, ENSEA, Equipe ETIS, Cergy Pontoise F-95000, France

来源：

2011 IEEE STATISTICAL SIGNAL PROCESSING WORKSHOP (SSP) | 2011年

关键词：

Gaussian switching system; exact Kalman filtering; particle filter;

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

We consider a general triplet Markov Gaussian linear system (X,R,Y), where X is hidden continuous, R is hidden discrete, and Y is observed continuous. Exact Kalman filter (KF) is not workable and two approximations are considered in the paper. The classical one consists of particle filtering, which is a new extension of the classical method we propose. Another new method we propose consists of replacing the model by a simpler one, in which (R,Y) is Markovian and in which exact KF can be performed. We show the interest of our method via experiments.

引用

页码：77 / 80

页数：4

共 50 条

[1] Triplet Markov models and Kalman filtering
Desbouvries, F
Pieczynski, W
[J]. COMPTES RENDUS MATHEMATIQUE, 2003, 336 (08) : 667 - 670
[2] Kalman filtering in triplet Markov chains
Ait-El-Fquih, Boujernaa
Desbouvries, Francois
[J]. IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2006, 54 (08) : 2957 - 2963
[3] Optimal Filter Approximations in Conditionally Gaussian Pairwise Markov Switching Models
Abbassi, N.
Benboudjema, D.
Derrode, S.
Pieczynski, W.
[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2015, 60 (04) : 1104 - 1109
[4] Suboptimal Kalman Filtering in Triplet Markov Models Using Model Order Reduction
Lehmann, Frederic
Pieczynski, Wojciech
[J]. IEEE SIGNAL PROCESSING LETTERS, 2020, 27 : 1100 - 1104
[5] Kalman filtering for triplet Markov Chains: Applications and extensions
El Fquih, BA
Desbouvries, F
[J]. 2005 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOLS 1-5: SPEECH PROCESSING, 2005, : 685 - 688
[6] Kalman filtering using pairwise Gaussian models
Pieczynski, W
Desbouvries, F
[J]. 2003 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOL VI, PROCEEDINGS: SIGNAL PROCESSING THEORY AND METHODS, 2003, : 57 - 60
[7] Reduced-Dimension Filtering in Triplet Markov Models
Lehmann, Frederic
Pieczynski, Wojciech
[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2022, 67 (02) : 605 - 617
[8] Semi-supervised optimal recursive filtering and smoothing in non-Gaussian Markov switching models
Zheng, Fei
Derrode, Stephane
Pieczynski, Wojciech
[J]. SIGNAL PROCESSING, 2020, 171
[9] Multimodal ensemble Kalman filtering using Gaussian mixture models
Dovera, Laura
Della Rossa, Ernesto
[J]. COMPUTATIONAL GEOSCIENCES, 2011, 15 (02) : 307 - 323
[10] Multimodal ensemble Kalman filtering using Gaussian mixture models
Laura Dovera
Ernesto Della Rossa
[J]. Computational Geosciences, 2011, 15 : 307 - 323

← 1 2 3 4 5 →