Linear Gaussian Vacuous Mixture
The software implementing the
Linear Gaussian Vacuous Mixture (LGVM) filter has been realized in
Matlab.
It is an open software and it is released under the terms of the GNU
GPL license. Sources and documentation can be downloaded here LGVM_N-dimensional.zip.
Please, for any problem or suggestion for software improvement, contact
me via email.
The
analytical derivation of the LGVM filter can be found here. A very
brief description of the problem follows.
and assume that the
knowledge on the initial state and state evolution process is modeled
by linear-vacuous mixtures:
where
This is equivalent to assume that
where the noises nt and ut have been assumed to have unknown distributions (not necessarily constant over time).
GOAL - compute the posterior lower (or upper) mean of the state:
