A general perspective on Gaussian filtering and smoothing: Explaining current and deriving new algorithms
Marc Peter Deisenroth, Henrik Ohlsson · 2011
We present a general probabilistic perspective on Gaussian filtering and smoothing. This allows us to show that common approaches to Gaussian filtering/smoothing can be distinguished solely by their methods of computing/approximating the means and covariances of joint probabilities. This implies that novel filters and smoothers can be derived straight forwardly by providing methods for computing these moments. Based on this insight, we derive the cubature Kalman smoother and propose a novel robust filtering and smoothing algorithm based on Gibbs sampling.