Expectation Propagation with Context Adjustment for Smoothing of Jump Markov Linear Systems

Sartas E., ORGUNER U.

IEEE Transactions on Aerospace and Electronic Systems, vol.59, no.5, pp.7098-7114, 2023 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 59 Issue: 5
  • Publication Date: 2023
  • Doi Number: 10.1109/taes.2023.3288083
  • Journal Name: IEEE Transactions on Aerospace and Electronic Systems
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Aerospace Database, Applied Science & Technology Source, Business Source Elite, Business Source Premier, Communication Abstracts, Compendex, Computer & Applied Sciences, INSPEC, Metadex, Civil Engineering Abstracts
  • Page Numbers: pp.7098-7114
  • Keywords: Expectation propagation (EP), jump Markov linear systems (JMLSs), smoothing, state estimation, switching dynamical systems
  • Middle East Technical University Affiliated: Yes

Abstract

A fixed interval smoother for jump Markov linear systems (JMLSs) is proposed in the framework of expectation propagation (EP). The concept of context adjustment is introduced into EP to avoid/alleviate indefinite covariance problem encountered in standard EP implementations in a systematic way. Kullback-Leibler projection problem for factors involving pseudo-Gaussian likelihoods, which are not proper density functions, is solved and the results are used in the backward pass of the proposed smoother. The simulation results on several scenarios where standard EP has numerical problems show that the proposed smoother has a similar or better performance compared to the alternative methods which keep the same summary statistics in the literature.