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In the work presented here, we consider state and parameter estimation of a semi-nonlinear Markov jump system in a non-Gaussian noise environment. The non-Gaussian measurement noise is approximated by a finite Gaussian mixture model (GMM). We propose a maximum likelihood (ML) solution to this state estimation problem which leads to two expectation-maximization (EM) algorithms. The first is a batch EM method which takes all the available data in the conditional expectation of the state in the E-step. An interacting multiple model (IMM) smoother is employed to evaluate the conditional expectation of the state by which a suboptimal estimate of system state is directly obtained. The Gaussian mixture parameters are then updated in the M-step. The second is a recursive EM algorithm which results from a stochastic approximation procedure and uses a standard IMM filter. For performance evaluation, posterior Cramer-Rao bound (PCRB) on the state estimation is adopted. Simulation results verify the effectiveness of the proposed algorithms.
Aerospace and Electronic Systems, IEEE Transactions on (Volume:46 , Issue: 1 )
Date of Publication: Jan. 2010