fixed minor typos

added some comments
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kazu
2016-04-17 11:50:38 +02:00
parent 42a42ce65d
commit 230c69d587
2 changed files with 23 additions and 10 deletions

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@@ -3,13 +3,13 @@
% 3/4 Seite ca.
%kurze einleitung zum smoothing
Filtering algorithm, like the before mentioned particle filter, use all observations $\mObsVec_{1:t}$ until the current time $t$ for computing an estimation of the state $\mStateVec_t$.
Filtering algorithm, like aforementioned particle filter, use all observations $\mObsVec_{1:t}$ until the current time $t$ for computing an estimation of the state $\mStateVec_t$.
In a Bayesian setting, this can be formalized as the computation of the posterior distribution $p(\mStateVec_t \mid \mObsVec_{1:t})$.
By considering a situation given all observations $\vec{o}_{1:T}$ until a time step $T$, where $t \ll T$, standard filtering methods are not able to make use of this additional data for computing $p(\mStateVec_t \mid \mObsVec_{1:T})$.
This problem can be solved with a smoothing algorithm.
Within this work we utilise two types of smoothing: fixed-lag and fixed-interval smoothing.
In fixed-lag smoothing, one tries to estimate the current state, give measurements up to a time $t + \tau$, where $\tau$ is a predefined lag.
In fixed-lag smoothing, one tries to estimate the current state, given measurements up to a time $t + \tau$, where $\tau$ is a predefined lag.
This makes the fixed-lag smoother able to run online.
On the other hand, fixed-interval smoothing requires all observations until time $T$ and therefore only runs offline, after the filtering procedure is finished \cite{chen2003bayesian}.
@@ -19,7 +19,9 @@ The origin of MC smoothing can be traced back to Genshiro Kitagawa.
In his work \cite{kitagawa1996monte} he presented the simplest form of smoothing as an extension to the particle filter.
This algorithm is often called the filter-smoother since it runs online and a smoothing is provided while filtering.
This approach can produce an accurate approximation of the filtering posterior $p(\vec{q}_{t} \mid \vec{o}_{1:t})$ with computational complexity of only $\mathcal{O}(N)$.
\commentByFrank{kleines n?}
However, it gives a poor representation of previous states \cite{Doucet11:ATO}.
\commentByFrank{wenn noch platz, einen satz mehr dazu warum es schlecht ist?}
Based on this, more advanced methods like the forward-backward smoother \cite{doucet2000} and backward simulation \cite{Godsill04:MCS} were developed.
Both methods are running backwards in time to reweight a set of particles recursively by using future observations.
Algorithmic details will be shown in section \ref{sec:smoothing}.