Accurate Gaussian Mixture Model Smoothing using a Two-Filter Approach
Mark P. Balenzuela, Johan Dahlin, Nathan Bartlett, Adrian Wills, Christopher Renton, Brett M. Ninness · 2018
We present a general and computationally tractable method for the operation of a Backwards Information Filter on a linear Gaussian Mixture Model system, which can be used to generate the smoothed density. Unlike other methods, the algorithm proposed here does not make unimodal approximations, and is exact with the exception of the mode reduction strategy.