Derivation of a sawtooth iterated extended Kalman smoother via the AECM algorithm

@article{Johnston2001DerivationOA,
  title={Derivation of a sawtooth iterated extended Kalman smoother via the AECM algorithm},
  author={Leigh A. Johnston and Vikram Krishnamurthy},
  journal={IEEE Trans. Signal Processing},
  year={2001},
  volume={49},
  pages={1899-1909}
}
The iterated extended Kalman smoother (IEKS) is derived under expectation-maximization (EM) algorithm formalism, providing insight into the behavior of the suboptimal extended Kalman filter (EKF) and smoother (EKS). Through an investigation of smoothing algorithms that result from variants of the EM algorithm, the sawtooth iterated extended Kalman smoother (SIEKS) and its computationally inexpensive counterparts are proposed via the alternating expectation conditional maximization (AECM… CONTINUE READING

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