Finite dimensional smoothers for MAP state estimation of bilinear systems

Abstract

In this paper, we present two finite-dimensional iterative algorithms for maximum a posteriori (MAP) state sequence estimation of bilinear systems. Bilinear models are appealing in their ability to represent or approximate a broad class of nonlinear systems. Our iterative algorithms for state estimation are based on the expectation-maximization (EM) algorithm and outperform the widely used extended Kalman smoother (EKS). Unlike the EKS, these EM algorithms are optimal (in the MAP sense) finite-dimensional solutions to the state sequence estimation problem for bilinear models. We also present recursive (on-line) versions of the two algorithms and show that they outperform the extended Kalman ..