The Restricted Variational Bayes Approximation in Bayesian Filtering

Result code in IS VaVaI

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Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

The Restricted Variational Bayes Approximation in Bayesian Filtering

Original language description

The Variational Bayes (VB) approach is used as a one-step approximation for Bayesian ?ltering. It requires the availability of moments of the free-form distributional optimizers. The latter may have intractable functional forms. In this contribution, wereplace these by appropriate ?xed-form distributions yielding the required moments. We address two scenarios of this Restricted VB (RVB) approximation. For the ?rst scenario, an application in identi?cation of HMMs is given. Close relationship of the second scenario to Rao-Blackwellized particle ?ltering is discussed and their performance is illustrated on a simple non-linear model.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BC - Theory and management systems

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2006

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Proceedings of the NSSPW'06 Workshop

ISBN

978-1-4244-0579-4

ISSN

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e-ISSN

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Number of pages

4

Pages from-to

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Publisher name

University of Cambridge

Place of publication

Cambridge

Event location

Cambridge

Event date

Sep 13, 2006

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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