Approximate Bayesian Smoothing with Unknown Process and Measurement Noise Covariances

Tohid Ardeshiri, Emre Özkan, Umut Orguner, Fredrik Gustafsson

We present an adaptive smoother for linear state-space models with unknown process and measurement noise covariances. The proposed method utilizes the variational Bayes technique to perform approximate inference. The resulting smoother is computationally efficient, easy to implement, and can be applied to high dimensional linear systems. The performance of the algorithm is illustrated on a target tracking example.

Knowledge Graph

arrow_drop_up

Comments

Sign up or login to leave a comment