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 [BibTeX] [Marc21]
The Auxiliary Variable Trick for deriving Kalman Smoothers
Type of publication: Idiap-RR
Citation: barber:kalman:smoother:04:87
Number: Idiap-RR-87-2004
Year: 2004
Month: 12
Institution: IDIAP
Address: Rue de Simplon 4, Martigny, CH-1920, Switerland
Note: IDIAP-RR 04-87
Abstract: We present a Forward-Backward Kalman smoother derivation that functions for small observation noise. Whilst this smoother can be found by judicious transformation of the standard Forward-Backward equations, we introduce an auxiliary variable trick which greatly simplifies the derivation, based on the probabilistic interpretation of the Kalman Filter, allowing one to work directly with moments of the distribution. The trick is of potential interest for the simple derivation of smoothing type inference in other related systems.
Userfields: ipdmembership={learning},
Projects Idiap
Authors Barber, David
Added by: [UNK]
Total mark: 0
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