Fixed-lag smoothing for bayes optimal knowledge exploitation in target tracking

Abstract

In this work, we are interested in the improvements attainable when multiscan processing of external knowledge is performed over a moving time window. We propose a novel algorithm that enforces the state constraints by using a Fixed-Lag Smoothing procedure within the prediction step of the Bayesian recursion. For proving the improvements, we utilize differential entropy as a measure of uncertainty and show that the approach guarantees a lower or equal posterior differential entropy than classical single-step constrained filtering. Simulation results using examples for single-target tracking are presented to verify that a Sequential Monte Carlo implementation of the proposed algorithm guarantees an improved tracking accuracy. © 2014 IEEE.