Levenberg-marquardt and line-search extended kalman smoothers

Simo Särkkä; Lennart Svensson

doi:10.1109/ICASSP40776.2020.9054686

Levenberg-marquardt and line-search extended kalman smoothers

Chalmers University of Technology

Tutkimustuotos: Artikkeli kirjassa/konferenssijulkaisussa › Conference article in proceedings › Scientific › vertaisarvioitu

8 Sitaatiot (Scopus)

Abstrakti

The aim of this article is to present Levenberg-Marquardt and line-search extensions of the classical iterated extended Kalman smoother (IEKS) which has previously been shown to be equivalent to the Gauss-Newton method. The algorithms are derived by rewriting the algorithm's steps in forms that can be efficiently implemented using modified EKS iterations. The resulting algorithms are experimentally shown to have superior convergence properties over the classical IEKS.

Alkuperäiskieli	Englanti
Otsikko	Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2020
Kustantaja	IEEE
Sivut	5875-5879
Sivumäärä	5
ISBN (elektroninen)	9781509066315
DOI - pysyväislinkit	https://doi.org/10.1109/ICASSP40776.2020.9054686
Tila	Julkaistu - toukok. 2020
OKM-julkaisutyyppi	A4 Artikkeli konferenssijulkaisussa
Tapahtuma	IEEE International Conference on Acoustics, Speech, and Signal Processing - Virtual conference, Barcelona, Espanja Kesto: 4 toukok. 2020 → 8 toukok. 2020 Konferenssinumero: 45

Julkaisusarja

Nimi	Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing
Kustantaja	IEEE
ISSN (painettu)	1520-6149
ISSN (elektroninen)	2379-190X

Conference

Conference	IEEE International Conference on Acoustics, Speech, and Signal Processing
Lyhennettä	ICASSP
Maa/Alue	Espanja
Kaupunki	Barcelona
Ajanjakso	04/05/2020 → 08/05/2020
Muu	Virtual conference

Pääsy asiakirjaan

10.1109/ICASSP40776.2020.9054686

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Särkkä, S., & Svensson, L. (2020). Levenberg-marquardt and line-search extended kalman smoothers. teoksessa Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2020 (Sivut 5875-5879). Artikkeli 9054686 (Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing). IEEE. https://doi.org/10.1109/ICASSP40776.2020.9054686

@inproceedings{0d988644f7e44f5e96a493b31e9a61d2,

title = "Levenberg-marquardt and line-search extended kalman smoothers",

abstract = "The aim of this article is to present Levenberg-Marquardt and line-search extensions of the classical iterated extended Kalman smoother (IEKS) which has previously been shown to be equivalent to the Gauss-Newton method. The algorithms are derived by rewriting the algorithm's steps in forms that can be efficiently implemented using modified EKS iterations. The resulting algorithms are experimentally shown to have superior convergence properties over the classical IEKS.",

keywords = "Extended Kalman smoother, Levenberg-Marquardt algorithm, Line search, Nonlinear estimation",

author = "Simo S{\"a}rkk{\"a} and Lennart Svensson",

year = "2020",

month = may,

doi = "10.1109/ICASSP40776.2020.9054686",

language = "English",

series = "Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing",

publisher = "IEEE",

pages = "5875--5879",

booktitle = "Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2020",

address = "United States",

note = "IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP ; Conference date: 04-05-2020 Through 08-05-2020",

}

Särkkä, S & Svensson, L 2020, Levenberg-marquardt and line-search extended kalman smoothers. julkaisussa Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2020., 9054686, Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, IEEE, Sivut 5875-5879, IEEE International Conference on Acoustics, Speech, and Signal Processing, Barcelona, Espanja, 04/05/2020. https://doi.org/10.1109/ICASSP40776.2020.9054686

Levenberg-marquardt and line-search extended kalman smoothers. / Särkkä, Simo; Svensson, Lennart.
Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2020. IEEE, 2020. s. 5875-5879 9054686 (Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing).

Tutkimustuotos: Artikkeli kirjassa/konferenssijulkaisussa › Conference article in proceedings › Scientific › vertaisarvioitu

TY - GEN

T1 - Levenberg-marquardt and line-search extended kalman smoothers

AU - Särkkä, Simo

AU - Svensson, Lennart

N1 - Conference code: 45

PY - 2020/5

Y1 - 2020/5

N2 - The aim of this article is to present Levenberg-Marquardt and line-search extensions of the classical iterated extended Kalman smoother (IEKS) which has previously been shown to be equivalent to the Gauss-Newton method. The algorithms are derived by rewriting the algorithm's steps in forms that can be efficiently implemented using modified EKS iterations. The resulting algorithms are experimentally shown to have superior convergence properties over the classical IEKS.

AB - The aim of this article is to present Levenberg-Marquardt and line-search extensions of the classical iterated extended Kalman smoother (IEKS) which has previously been shown to be equivalent to the Gauss-Newton method. The algorithms are derived by rewriting the algorithm's steps in forms that can be efficiently implemented using modified EKS iterations. The resulting algorithms are experimentally shown to have superior convergence properties over the classical IEKS.

KW - Extended Kalman smoother

KW - Levenberg-Marquardt algorithm

KW - Line search

KW - Nonlinear estimation

UR - http://www.scopus.com/inward/record.url?scp=85090119876&partnerID=8YFLogxK

U2 - 10.1109/ICASSP40776.2020.9054686

DO - 10.1109/ICASSP40776.2020.9054686

M3 - Conference article in proceedings

AN - SCOPUS:85090119876

T3 - Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing

SP - 5875

EP - 5879

BT - Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2020

PB - IEEE

T2 - IEEE International Conference on Acoustics, Speech, and Signal Processing

Y2 - 4 May 2020 through 8 May 2020

ER -

Särkkä S, Svensson L. Levenberg-marquardt and line-search extended kalman smoothers. julkaisussa Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2020. IEEE. 2020. s. 5875-5879. 9054686. (Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing). doi: 10.1109/ICASSP40776.2020.9054686

Levenberg-marquardt and line-search extended kalman smoothers

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