A new smoothing algorithm for jump Markov linear systems

DOI10.1016/J.AUTOMATICA.2022.110218MaRDI QIDQ2125500zbMATH OpenOpenAlexFDO

Authors Mark P. Balenzuela, Christopher Renton, Brett Ninness, Adrian G. Wills

Publication date 14 April 2022

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.08561

zbMATH Keywords

Bayesian estimationinteracting multiple models (IMM)jump Markov linear systems (JMLS)smoothingswitched linear dynamical systems (SLDS)

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Stochastic systems in control theory (general) (93E03)

Abstract: This paper presents a method for calculating the smoothed state distribution for Jump Markov Linear Systems. More specifically, the paper details a novel two-filter smoother that provides closed-form expressions for the smoothed hybrid state distribution. This distribution can be expressed as a Gaussian mixture with a known, but exponentially increasing, number of Gaussian components as the time index increases. This is accompanied by exponential growth in memory and computational requirements, which rapidly becomes intractable. To ameliorate this, we limit the number of allowed mixture terms by employing a Gaussian mixture reduction strategy, which results in a computationally tractable, but approximate smoothed distribution. The approximation error can be balanced against computational complexity in order to provide an accurate and practical smoothing algorithm that compares favourably to existing state-of-the-art approaches.

Recommendations

• State and Mode Estimation for Discrete-Time Jump Markov Systems
• One-step fixed-lag smoothers for Markovian switching systems
• Smoothing algorithms for state-space models
• Stochastic sampling algorithms for state estimation of jump Markov linear systems
• A convex optimization approach to filtering in jump linear systems with state dependent transitions

Cites work

• A solution of the smoothing problem for linear dynamic systems
• Bayesian reasoning and machine learning.
• Dynamic linear models with Markov-switching
• Expectation correction for smoothed inference in switching linear dynamical systems
• Expectation maximization algorithms for MAP estimation of jump Markov linear systems
• Fixed-interval smoothing for Markovian switching systems
• scientific article; zbMATH DE number 5919872 (Why is no real title available?)
• Issues in sampling and estimating continuous-time models with stochastic disturbances
• Nonlinear Bayesian estimation using Gaussian sum approximations
• Performance and robustness analysis of stochastic jump linear systems using Wasserstein metric
• The interacting multiple model algorithm for systems with Markovian switching coefficients
• The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother

Cited in

(7)

• Expectation correction for smoothed inference in switching linear dynamical systems
• Adaptive risk-sensitive filter for Markovian jump linear systems
• \(H_{\infty}\) optimal output tracking control for Markov jump systems: a reinforcement learning-based approach
• Non-fragile \(H_\infty\) filtering for delayed discrete-time Markov jump systems: an adaptive event-triggered strategy
• Rao-Blackwellized particle smoothing for mixed linear/nonlinear state-space model with asynchronously dependent noise processes
• Dynamic protocol-based sliding mode control for nonlinear semi-Markovian jump systems with deterministic switching
• SMC for discrete singular stochastic jump systems under semi-Markov kernel

This page was built for publication: A new smoothing algorithm for jump Markov linear systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2125500)