Analysis of single Gaussian approximation of Gaussian mixtures in Bayesian filtering applied to mixed multiple-model estimation

Orguner U; Demirekler M

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Analysis of single Gaussian approximation of Gaussian mixtures in Bayesian filtering applied to mixed multiple-model estimation

机译：贝叶斯滤波中高斯混合的单高斯近似分析在混合多模型估计中的应用

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This paper examines the effect of the moment-matched single Gaussian approximation, which is made in various multiple-model filtering applications to approximate a Gaussian mixture, on the Bayesian filter performance. The estimation error caused by the approximation is analysed for both the prediction and the measurement updates of a Bayesian filter. An approximate formula is found for the covariance of the error caused by the approximation for a general Gaussian mixture with arbitrary components. The calculated error covariance is used for obtaining a mixed multiple-model estimation algorithm which has a performance near that of GPB2 with less computations.

机译：本文研究了在多种多模型滤波应用中进行矩匹配的单高斯近似对贝叶斯滤波器性能的影响，该模型在各种多模型滤波应用中用于近似高斯混合。对于贝叶斯滤波器的预测和测量更新，都分析了由近似引起的估计误差。对于具有任意分量的一般高斯混合，由于近似引起的误差的协方差，可以找到一个近似公式。计算出的误差协方差用于获得一种混合多模型估计算法，该算法具有与GPB2差不多的性能，并且计算量较少。

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《International Journal of Control》 |2007年第6期|共16页
作者
Orguner U; Demirekler M;
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正文语种 eng
中图分类控制论、信息论（数学理论）;
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SYSTEMS;

机译：系统;

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1. Analysis of single Gaussian approximation of Gaussian mixtures in Bayesian filtering applied to mixed multiple-model estimation [J] . Orguner U, Demirekler M International Journal of Control . 2007,第6期

机译：贝叶斯滤波中高斯混合的单高斯近似分析在混合多模型估计中的应用
2. Gaussian filtering and variational approximations for Bayesian smoothing in continuous-discrete stochastic dynamic systems [J] . Juha Ala-Luhtala, Simo Saerkkae, Robert Piche Signal processing . 2015,第juna期

机译：连续离散随机动力系统中贝叶斯平滑的高斯滤波和变分近似
3. Gaussian mixture PHD filter for jump Markov models based on best-fitting Gaussian approximation [J] . Wenling Li, Yingmin Jia Signal processing . 2011,第4期

机译：基于最佳拟合高斯近似的跳跃Markov模型的高斯混合PHD滤波器
4. Mix-nets: Factored Mixtures of Gaussians in Bayesian Networks with Mixed Continuous And Discrete Variables [C] . Scott Davies, Andrew Moore Conference on uncertainty in artificial intelligence . 2000

机译：混合网：混合连续和离散变量的贝叶斯网络中高斯的因子混合物
5. Recursive Bayesian filtering through a mixture of Gaussian and discrete particles [D] . Manzar, Ahmad Saud. 2017

机译：通过高斯和离散粒子的混合进行递归贝叶斯滤波
6. Efficient Bayesian hierarchical functional data analysis with basis function approximations using Gaussian-Wishart processes [O] . Jingjing Yang, Dennis D. Cox, Jong Soo Lee, -1

机译：使用高斯-维沙特过程进行基本函数逼近的高效贝叶斯分层函数数据分析
7. Gaussian filtering and variational approximations for Bayesian smoothing in continuous-discrete stochastic dynamic systems [O] . Ala-Luhtala, Juha, Särkkä, Simo, Piché, Robert 2014

机译：贝叶斯平滑的高斯滤波和变分近似在连续离散随机动力系统中
8. Mix-nets: Factored Mixtures of Gaussians in Bayesian Networks With Mixed Continuous and Discrete Variables [R] . Davies, S. , Moore, A. 2000

机译：混合网：贝叶斯网络中具有混合连续和离散变量的高斯分解因子

Analysis of single Gaussian approximation of Gaussian mixtures in Bayesian filtering applied to mixed multiple-model estimation

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