The Rao-Blackwellized Particle Filter （RBPF） is widely used for high dimensional nonlinear sys- tems, often with a linear Gaussian substructure. However, the RBPF is just a specific method in the class of Rao-Blackw...The Rao-Blackwellized Particle Filter （RBPF） is widely used for high dimensional nonlinear sys- tems, often with a linear Gaussian substructure. However, the RBPF is just a specific method in the class of Rao-Blackwellized Filtering （RBF）. This paper analyzes the recursive structure of the RBF from a more gen- eral perspective. The research starts from a general system model and studies the interconnected relation- ships between the two subspaces during the iterations. The results illustrate the working mechanisms of the RBF with an extensible framework for easily building Rao-Blackwellized algorithms with common nonlinear filters. Several examples are given to illustrate how to build new filters using this framework.展开更多
文摘The Rao-Blackwellized Particle Filter （RBPF） is widely used for high dimensional nonlinear sys- tems, often with a linear Gaussian substructure. However, the RBPF is just a specific method in the class of Rao-Blackwellized Filtering （RBF）. This paper analyzes the recursive structure of the RBF from a more gen- eral perspective. The research starts from a general system model and studies the interconnected relation- ships between the two subspaces during the iterations. The results illustrate the working mechanisms of the RBF with an extensible framework for easily building Rao-Blackwellized algorithms with common nonlinear filters. Several examples are given to illustrate how to build new filters using this framework.
