Variational Bayesian Filtering

@article{Smdl2008VariationalBF,
  title={Variational Bayesian Filtering},
  author={V{\'a}clav Sm{\'i}dl and Anthony Quinn},
  journal={IEEE Transactions on Signal Processing},
  year={2008},
  volume={56},
  pages={5020-5030}
}
The use of the variational Bayes (VB) approximation in Bayesian filtering is studied, both as a means to accelerate marginalized particle filtering and as a deterministic local (one-step) approximation. The VB method of approximation is reviewed, together with restrictions that allow various computational savings to be achieved. These variants provide a range of algorithms that can be used in a principled tradeoff between quality of approximation and computational cost. In combination with… CONTINUE READING
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