2020
Unsupervised Variational Bayesian Kalman Filtering For Large-Dimensional Gaussian Systems
ICASSP 2020accepted
This paper considers the unsupervised filtering problem for large-dimensional linear and Gaussian systems, a setup in which the optimal Kalman filter (KF) might not be usable due to the exorbitant computational cost and storage requirements. For this problem, we propose two efficient algorithms base…