Conference paper

Šmídl V., Quinn A.

Proceedings of the NSSPW workshop

Cambridge

2006

Ing. Václav Šmídl, Ph.D. (ÚTIA - Oddělení adaptivních systémů)

The Variational Bayes (VB) approach is used as a one-step approximation for Bayesian filtering. It requires the availability of moments of the free-form distributional optimizers. The latter may have intractable functional forms. In this contribution, we replace these by appropriate fixed-form distributions yielding the required moments. We address two scenarios of this Restricted VB (RVB) approximation. For the first scenario, an application in identification of HMMs is given. In the second, the fixed-form distribution is generated via Particle Filtering (PF). It is shown that a new approximation of Rao-Blackwellized particle filtering is obtained in this scenario of RVB. Its performance is assessed for a simple nonlinear model.