Bobrovsky-Zakai Bound for Filtering, Prediction and Smoothing of Nonlinear Dynamic Systems

Date

2018-07-13

Author

Fritsche, Carsten
Orguner, Umut
Gustafsson, Fredrik

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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In this paper, recursive Bobrovsky-Zakai bounds for filtering, prediction and smoothing of nonlinear dynamic systems are presented. The similarities and differences to an existing Bobrovsky-Zakai bound in the literature for the filtering case are highlighted. The tightness of the derived bounds are illustrated on a simple example where a linear system with non-Gaussian measurement likelihood is considered. The proposed bounds are also compared with the performance of some well-known filters/predictors/smoothers and other Bayesian bounds.

Subject Keywords

Bobrovsky-Zakai bound, State estimation, Nonlinear, Filtering, Smoothing, Prediction

URI

https://hdl.handle.net/11511/38070

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Department of Electrical and Electronics Engineering, Conference / Seminar