Factored Filtering of Continuous-Time Systems

Details Factored Filtering of Continuous-Time Systems Factored Filtering of Continuous-Time Systems

2012-02-14

arxiv.org/abs/1202.3703v1

Computer Science

Systems and Control

Scientific paper

We consider filtering for a continuous-time, or asynchronous, stochastic system where the full distribution over states is too large to be stored or calculated. We assume that the rate matrix of the system can be compactly represented and that the belief distribution is to be approximated as a product of marginals. The essential computation is the matrix exponential. We look at two different methods for its computation: ODE integration and uniformization of the Taylor expansion. For both we consider approximations in which only a factored belief state is maintained. For factored uniformization we demonstrate that the KL-divergence of the filtering is bounded. Our experimental results confirm our factored uniformization performs better than previously suggested uniformization methods and the mean field algorithm.

Affiliated with

Also associated with

No associations

Rating

Factored Filtering of Continuous-Time Systems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Factored Filtering of Continuous-Time Systems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Factored Filtering of Continuous-Time Systems will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-90343