Kalman smoothing as forward-backward
(40 minutes to learn)
Summary
Kalman smoothing can be seen as a special case of the forward-backward algorithm for inference in HMMs. This leads to a simpler derivation than the classical one.
Context
This concept has the prerequisites:
Core resources (read/watch one of the following)
-Paid-
→ Pattern Recognition and Machine Learning
A textbook for a graduate machine learning course, with a focus on Bayesian methods.
Location:
Section 13.3.1, pages 638-641
Supplemental resources (the following are optional, but you may find them useful)
-Paid-
→ Machine Learning: a Probabilistic Perspective
A very comprehensive graudate-level machine learning textbook.
Location:
Section 18.3.2.3, pages 645-646
See also
-No Additional Notes-