tailieunhanh - Báo cáo hóa học: " Multilevel Mixture Kalman Filter"

Tuyển tập báo cáo các nghiên cứu khoa học quốc tế ngành hóa học dành cho các bạn yêu hóa học tham khảo đề tài: Multilevel Mixture Kalman Filter | EURASIP Journal on Applied Signal Processing 2004 15 2255-2266 2004 Hindawi Publishing Corporation Multilevel Mixture Kalman Filter Dong Guo Department of Electrical Engineering Columbia University New York NY 10027 USA Email guodong@ Xiaodong Wang Department of Electrical Engineering Columbia University New York NY 10027 USA Email wangx@ Rong Chen Department of Information and Decision Sciences University of Illinois at Chicago Chicago IL 60607-7124 USA Email rongchen@ Department of Business Statistics Econometrics Peking University Beijing 100871 China Received 30 April 2003 Revised 18 December 2003 The mixture Kalman filter is a general sequential Monte Carlo technique for conditional linear dynamic systems. It generates samples of some indicator variables recursively based on sequential importance sampling SIS and integrates out the linear and Gaussian state variables conditioned on these indicators. Due to the marginalization process the complexity of the mixture Kalman filter is quite high if the dimension of the indicator sampling space is high. In this paper we address this difficulty by developing a new Monte Carlo sampling scheme namely the multilevel mixlure Kalman filter. The basic idea is to make use of the multilevel or hierarchical structure of the space from which the indicator variables take values. That is we draw samples in a multilevel fashion beginning with sampling from the highest-level sampling space and then draw samples from the associate subspace of the newly drawn samples in a lower-level sampling space until reaching the desired sampling space. Such a multilevel sampling scheme can be used in conjunction with the delayed estimation method such as the delayed-sample method resulting in delayed multilevel mixture Kalman filter. Examples in wireless communication specifically the coherent and noncoherent 16-QAM over flat-fading channels are provided to demonstrate the performance of the proposed .