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A marginalised particle filter with variational inference for non‐linear state‐space models with Gaussian mixture noise

Cheng, Cheng and Tourneret, Jean-Yves and Lu, Xiaodong A marginalised particle filter with variational inference for non‐linear state‐space models with Gaussian mixture noise. ( In Press: 2021) IET Radar, Sonar and Navigation. 1-11. ISSN 1751-8792

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Official URL: https://doi.org/10.1049/rsn2.12179

Abstract

This work proposes a marginalised particle filter with variational inference for non‐linear state‐space models (SSMs) with Gaussian mixture noise. A latent variable indicating the component of the Gaussian mixture considered at each time instant is introduced to specify the measurement mode of the SSM. The resulting joint posterior distribution of the state vector, the mode variable and the parameters of the Gaussian mixture noise is marginalised with respect to the noise variables. The marginalised posterior distribution of the state and mode is then approximated by using an appropriate marginalised particle filter. The noise parameters conditionally on each particle system of the state and mode variable are finally updated by using variational Bayesian inference. A simulation study is conducted to compare the proposed method with state‐of‐the‐art approaches in the context of positioning in urban canyons using global navigation satellite systems.

Item Type:Article
Additional Information:This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Rhe article is avalaible at: https://ietresearch.onlinelibrary.wiley.com/doi/full/10.1049/rsn2.12179
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution:French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE)
Université de Toulouse > Institut National Polytechnique de Toulouse - Toulouse INP (FRANCE)
Other partners > Northwestern Polytechnical University (CHINA)
Université de Toulouse > Université Toulouse III - Paul Sabatier - UT3 (FRANCE)
Université de Toulouse > Université Toulouse - Jean Jaurès - UT2J (FRANCE)
Université de Toulouse > Université Toulouse 1 Capitole - UT1 (FRANCE)
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Deposited On:02 Nov 2021 14:25

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