Enhanced Fixed-Interval Smoothing for Markovian Switching Systems
2021 IEEE 24th International Conference on Information Fusion (FUSION)(2021)
摘要
This paper considers the problem of fixed-interval smoothing for Markovian switching systems with multiple linear state-space models. An enhanced algorithm that is capable of accurately approximating the Bayesian optimal smoother is proposed. It utilizes the exact expression for the quotient of two Gaussian densities to help solve the backward-time recursive equations of Bayesian smoothing, and co...
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