DocumentCode :
2667975
Title :
On the equivalence of the extended Kalman smoother and the expectation maximisation algorithm for polynomial signal models
Author :
Johnston, Leigh A. ; Krishnamurthy, Vikram
Author_Institution :
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
fYear :
1999
fDate :
1999
Firstpage :
303
Lastpage :
308
Abstract :
The iterated extended Kalman smoother (IEKS) is shown to be equivalent to one iteration of the expectation maximisation (EM)-based SAGE algorithm for the class of nonlinear signal models containing polynomial dynamics. Thus the IEKS is a maximum a posteriori (MAP) state sequence estimator for this class of systems. The iterated extended Kalman filter (IEKF) can be thought of as a heuristic, online version of a SAGE algorithm, derived via EM formalism rather than via linearisation around approximate conditional mean state estimates. We apply the polynomial SAGE algorithm to the discrete time, cubic sensor problem and show that it outperforms the standard extended Kalman smoother
Keywords :
Kalman filters; polynomials; smoothing methods; state estimation; SAGE algorithm; approximate conditional mean state estimates; discrete time cubic sensor problem; expectation maximisation algorithm; extended Kalman smoother; maximum a posteriori state sequence estimator; nonlinear signal models; polynomial dynamics; polynomial signal models; Chaos; Cyclic redundancy check; Filtering theory; Information processing; Kalman filters; Polynomials; Signal processing; State estimation; Stochastic processes; System identification;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Information, Decision and Control, 1999. IDC 99. Proceedings. 1999
Conference_Location :
Adelaide, SA
Print_ISBN :
0-7803-5256-4
Type :
conf
DOI :
10.1109/IDC.1999.754174
Filename :
754174
Link To Document :
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