In this paper, a factor graph approach is employed to investigate the recursive filtering problem for conditionally linear Gaussian state-space models. First, we derive a new factor graph for the considered filtering problem; then, we show that applying the sum-product rule to our graphical model results in both known and novel filtering techniques. In particular, we prove that: 1) marginalized particle filtering can be interpreted as a form of forward only message passing over the devised graph; 2) novel filtering methods can be easily developed by exploiting the graph structure and/or simplifying probabilistic messages.

Marginalized Particle Filtering and Related Filtering Techniques as Message Passing

Di Viesti, Pasquale;
2019

Abstract

In this paper, a factor graph approach is employed to investigate the recursive filtering problem for conditionally linear Gaussian state-space models. First, we derive a new factor graph for the considered filtering problem; then, we show that applying the sum-product rule to our graphical model results in both known and novel filtering techniques. In particular, we prove that: 1) marginalized particle filtering can be interpreted as a form of forward only message passing over the devised graph; 2) novel filtering methods can be easily developed by exploiting the graph structure and/or simplifying probabilistic messages.
Vitetta, Giorgio M.; Sirignano, Emilio; Di Viesti, Pasquale; Montorsi, Francesco; Sola, Matteo
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11585/707641
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