Efficient Kalman Smoothing for Harmonic State-Space Models
| Type of publication: | Idiap-RR |
| Citation: | barber:rr05-87 |
| Number: | Idiap-RR-87-2005 |
| Year: | 2005 |
| Institution: | IDIAP |
| Abstract: | Harmonic probabilistic models are common in signal analysis. Framed as a linear-Gaussian state-space model, smoothed inference scales as $O(TH^2)$ where $H$ is twice the number of frequencies in the model and $T$ is the length of the time-series. Due to their central role in acoustic modelling, fast effective inference in this model is of some considerable interest. We present a form of `rotation-corrected' low-rank approximation for the backward pass of the Rauch-Tung-Striebel smoother. This provides an effective approximation with computation complexity $O(TSH)$ where $S$ is the rank of the approximation. |
| Userfields: | ipdmembership={learning}, |
| Keywords: | |
| Projects |
Idiap |
| Authors | |
| Added by: | [UNK] |
| Total mark: | 0 |
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