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Article Dans Une Revue Signal Processing Année : 2021

A variational marginalized particle filter for jump Markov nonlinear systems with unknown transition probabilities

Résumé

This paper studies a new variational marginalized particle filter for jointly estimating the state and the system mode parameters of jump Markov nonlinear systems. Contrary to the Markovian assumption usu- ally considered to model the evolution of the system modes, we introduce conjugate prior distributions for the system mode parameters. The joint posterior distribution of the state and system mode parame- ters is then marginalized with respect to the mode variables. The remaining state vector is sampled us- ing a sequential Monte Carlo algorithm, and the mode parameters are sampled using variational Bayesian inference. In order to obtain analytical solutions for the different variational distributions, we use an extended factorized approximation simplifying the variational distributions. A comprehensive simulation study is conducted to compare the performance of the proposed approach with the state-of-the-art for a modified nonlinear benchmark model and maneuvering target tracking scenarios.
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Dates et versions

hal-03382639 , version 1 (18-10-2021)

Identifiants

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Cheng Cheng, Jean-Yves Tourneret. A variational marginalized particle filter for jump Markov nonlinear systems with unknown transition probabilities. Signal Processing, 2021, 188, pp.108226. ⟨10.1016/j.sigpro.2021.108226⟩. ⟨hal-03382639⟩
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