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

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.