Multilevel mixture Kalman filter

Dong Guo, Xiaodong Wang, Rong Chen

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

The mixture Kalman filter is a general sequential Monte Carlo technique for conditional linear dynamic systems. It generates samples of some indicator variables recursively based on sequential importance sampling (SIS) and integrates out the linear and Gaussian state variables conditioned on these indicators. Due to the marginalization process, the complexity of the mixture Kalman filter is quite high if the dimension of the indicator sampling space is high. In this paper, we address this difficulty by developing a new Monte Carlo sampling scheme, namely, the multilevel mixture Kalman filter. The basic idea is to make use of the multilevel or hierarchical structure of the space from which the indicator variables take values. That is, we draw samples in a multilevel fashion, beginning with sampling from the highest-level sampling space and then draw samples from the associate subspace of the newly drawn samples in a lower-level sampling space, until reaching the desired sampling space. Such a multilevel sampling scheme can be used in conjunction with the delayed estimation method, such as the delayed-sample method, resulting in delayed multilevel mixture Kalman filter. Examples in wireless communication, specifically the coherent and noncoherent 16-QAM over flat-fading channels, are provided to demonstrate the performance of the proposed multilevel mixture Kalman filter.

Original languageEnglish (US)
Pages (from-to)2255-2266
Number of pages12
JournalEurasip Journal on Applied Signal Processing
Volume2004
Issue number15
DOIs
StatePublished - Nov 1 2004
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Signal Processing
  • Hardware and Architecture
  • Electrical and Electronic Engineering

Keywords

  • Delayed-sample method
  • Mixture Kalman filter
  • Multilevel mixture Kalman filter
  • Sequential Monte Carlo

Fingerprint

Dive into the research topics of 'Multilevel mixture Kalman filter'. Together they form a unique fingerprint.

Cite this