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Multi-modal filtering for non-linear estimation

Sanket Kamthe; Jan Peters; Marc Peter Deisenroth
In: 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP). International Conference on Acoustics, Speech and Signal Processing (ICASSP-2014), May 4-9, Florence, Italy, Pages 7979-7983, IEEE, 2014.


Multi-modal densities appear frequently in time series and practical applications. However, they cannot be represented by common state estimators, such as the Extended Kalman Filter (EKF) and the Unscented Kalman Filter (UKF), which additionally suffer from the fact that uncertainty is often not captured sufficiently well, which can result in incoherent and divergent tracking performance. In this paper, we address these issues by devising a non-linear filtering algorithm where densities are represented by Gaussian mixture models, whose parameters are estimated in closed form. The resulting method exhibits a superior performance on typical benchmarks.

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