Mode-matched filtering via the EM algorithm

TitleMode-matched filtering via the EM algorithm
Publication TypeConference Paper
Year of Publication1999
AuthorsJohnston, L. A., and V. Krishnamurthy
Conference NameAmerican Control Conference, 1999. Proceedings of the 1999
Pagination1930 -1934 vol.3
Keywordsalternating expectation conditional maximization, EM algorithm, filtering theory, jump Markov systems, linear systems, Markov processes, MMAECM algorithm, mode matched filtering, mode-matched filtering, optimisation, state estimation

We show that a generalization of the EM algorithm, the alternating expectation conditional maximization (AECM) algorithm, can be used to derive a mode matched filtering algorithm called the MMAECM. Mode-matched filtering methods are used for state estimation of jump Markov linear systems. Such models are used in a wide variety of areas in which the system switches between different modes of operation, as in target tracking. The optimal conditional mean estimator for jump Markov linear systems is of exponential complexity, hence algorithms are necessarily suboptimal. We derive the MMAECM according to the maximum a posteriori criterion. Performance of an online version of the MMAECM algorithm is compared to existing mode-matched filtering algorithms such as the interacting multiple model algorithm and generalized pseudo Bayesian methods


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