TY - GEN
T1 - Parallel iterated extended and sigma-point Kalman smoothers
AU - Yaghoobi, Fatemeh
AU - Corenflos, Adrien
AU - Hassan, Sakira
AU - Särkkä, Simo
N1 - Funding Information:
The authors would like to thank Academy of Finland for funding.
Publisher Copyright:
© 2021 IEEE.
PY - 2021
Y1 - 2021
N2 - The problem of Bayesian filtering and smoothing in nonlinear models with additive noise is an active area of research. Classical Taylor series as well as more recent sigma-point based methods are two well-known strategies to deal with this problem. However, these methods are inherently sequential and do not in their standard formulation allow for parallelization in the time domain. In this paper, we present a set of parallel formulas that replace the existing sequential ones in order to achieve lower time (span) complexity. Our experimental results done with a graphics processing unit (GPU) illustrate the efficiency of the proposed methods over their sequential counterparts.
AB - The problem of Bayesian filtering and smoothing in nonlinear models with additive noise is an active area of research. Classical Taylor series as well as more recent sigma-point based methods are two well-known strategies to deal with this problem. However, these methods are inherently sequential and do not in their standard formulation allow for parallelization in the time domain. In this paper, we present a set of parallel formulas that replace the existing sequential ones in order to achieve lower time (span) complexity. Our experimental results done with a graphics processing unit (GPU) illustrate the efficiency of the proposed methods over their sequential counterparts.
KW - Iterated extended Kalman smoother
KW - Nonlinear estimation
KW - Parallel computing
KW - Sigma-point smoother
UR - http://www.scopus.com/inward/record.url?scp=85102164422&partnerID=8YFLogxK
U2 - 10.1109/ICASSP39728.2021.9413364
DO - 10.1109/ICASSP39728.2021.9413364
M3 - Conference article in proceedings
AN - SCOPUS:85102164422
T3 - Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing
SP - 5350
EP - 5354
BT - Proceedings of IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2021
PB - IEEE
T2 - IEEE International Conference on Acoustics, Speech, and Signal Processing
Y2 - 6 June 2021 through 11 June 2021
ER -