Marginalized Particle Filtering and Related Filtering Techniques as Message Passing

DOI10.1109/TSP.2019.2893868zbMATH Open1415.94266arXiv1605.03017OpenAlexW2964068693WikidataQ128592569 ScholiaQ128592569MaRDI QIDQ4628313FDOQ4628313

Authors: Giorgio M. Vitetta, Emilio Sirignano, Pasquale di Viesti, Francesco Montorsi, Matteo Sola

Publication date: 6 March 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: In this manuscript a factor graph approach is employed to investigate the recursive filtering problem for a mixed linear/nonlinear state-space model, i.e. for a model whose state vector can be partitioned in a linear state variable (characterized by conditionally linear dynamics) and a non linear state variable. Our approach allows us to show that: a) the factor graph characterizing the considered filtering problem is not cycle free; b) in the case of conditionally linear Gaussian systems, applying the sum-product rule, together with different scheduling procedures for message passing, to this graph results in both known and novel filtering techniques. In particular, it is proved that, on the one hand, adopting a specific message scheduling for forward only message passing leads to marginalized particle filtering in a natural fashion; on the other hand, if iterative strategies for message passing are employed, novel filtering methods, dubbed turbo filters for their conceptual resemblance to the turbo decoding methods devised for concatenated channel codes, can be developed.

Full work available at URL: https://arxiv.org/abs/1605.03017

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35)

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