Recently, a novel method for developing filtering algorithms, based on the interconnection of two Bayesian filters and called double Bayesian filtering, has been proposed. In this manuscript we show that the same conceptual approach can be exploited to devise a new smoothing method, called double Bayesian smoothing. A double Bayesian smoother combines a double Bayesian filter, employed in its forward pass, with the interconnection of two backward information filters used in its backward pass. As a specific application of our general method, a detailed derivation of double Bayesian smoothing algorithms for conditionally linear Gaussian systems is illustrated. Numerical results for two specific dynamic systems evidence that these algorithms can achieve a better complexity-accuracy tradeoff and tracking capability than other smoothing techniques recently appeared in the literature.

Double Bayesian Smoothing as Message Passing / Di Viesti, Pasquale; Vitetta, Giorgio Matteo; Sirignano, Emilio. - In: IEEE TRANSACTIONS ON SIGNAL PROCESSING. - ISSN 1053-587X. - 67:21(2019), pp. 5495-5510. [10.1109/TSP.2019.2941064]

Double Bayesian Smoothing as Message Passing

Di Viesti, Pasquale;Vitetta, Giorgio Matteo;Sirignano, Emilio
2019

Abstract

Recently, a novel method for developing filtering algorithms, based on the interconnection of two Bayesian filters and called double Bayesian filtering, has been proposed. In this manuscript we show that the same conceptual approach can be exploited to devise a new smoothing method, called double Bayesian smoothing. A double Bayesian smoother combines a double Bayesian filter, employed in its forward pass, with the interconnection of two backward information filters used in its backward pass. As a specific application of our general method, a detailed derivation of double Bayesian smoothing algorithms for conditionally linear Gaussian systems is illustrated. Numerical results for two specific dynamic systems evidence that these algorithms can achieve a better complexity-accuracy tradeoff and tracking capability than other smoothing techniques recently appeared in the literature.
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Double Bayesian Smoothing as Message Passing / Di Viesti, Pasquale; Vitetta, Giorgio Matteo; Sirignano, Emilio. - In: IEEE TRANSACTIONS ON SIGNAL PROCESSING. - ISSN 1053-587X. - 67:21(2019), pp. 5495-5510. [10.1109/TSP.2019.2941064]
Di Viesti, Pasquale; Vitetta, Giorgio Matteo; Sirignano, Emilio
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11380/1184117
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