Expectation correction for smoothed inference in switching linear dynamical systems

zbMATH Open1222.62112MaRDI QIDQ3174049FDOQ3174049

David Barber

Publication date: 12 October 2011

Full work available at URL: http://www.jmlr.org/papers/v7/barber06a.html

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zbMATH Keywords

expectation propagationswitching Kalman filterGaussian sum smoother

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cited In (7)

• Correction to “On Gaussian Optimal Smoothing of Nonlinear State Space Models” [Aug 10 1938-1941]
• A new smoothing algorithm for jump Markov linear systems
• Title not available (Why is that?)
• Approximate forward-backward algorithm for a switching linear Gaussian model
• Learning in Volatile Environments With the Bayes Factor Surprise
• Parameter estimation for jump Markov linear systems
• Expectation propagation for continuous time stochastic processes

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