An Iterative Nonlinear Filter Using Variational Bayesian Optimization
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We propose an iterative nonlinear estimator based on the technique of variational Bayesian optimization. The posterior distribution of the underlying system state is approximated by a solvable variational distribution approached iteratively using evidence lower bound optimization subject to a minimal weighted Kullback-Leibler divergence, where a penalty factor is considered to adjust the step size of the iteration. Based on linearization, the iterative nonlinear filter is derived in a closed-form. The performance of the proposed algorithm is compared with several nonlinear filters in the literature using simulated target tracking examples.
2022 ◽
Vol 130
(1)
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pp. 1-16
2019 ◽
Vol 04
(01)
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pp. 1842002
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2017 ◽
Vol 2017
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pp. 1-14
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1972 ◽
Vol 94
(1)
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pp. 57-63
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2013 ◽
Vol 58
(8)
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pp. 2641-2655
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