Rao-Blackwellised Particle Filters: Examples of Applications

In this work, we present some examples of applications of the so-called Rao-Blackwellised particle filter (RBPF). RBPFs are an extension to particle filters (PFs) which are applicable to conditionally linear-Gaussian state-space models. Although RBPF introductions and reviews may be found in many existing sources, going through the specific vocabulary and concepts of particle filtering can sometimes prove to be time-consuming for the non-initiated reader willing to experiment with alternative algorithms. The goal of the paper is to introduce RBPF-based methods in an accessible manner via a main algorithm, which is detailed enough to be readily applied to a wide range of problems. To illustrate the practicality and the convenience of the approach, the algorithm is then tailored to two examples from different fields. The first example is related to system identification, and the second is an application of speech enhancement