A Note on the Relation Between Balenzela's Algorithm for Two-Filter Formula for Smoothing and Information Filter

06/21/2023

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by   G. Kitagawa, et al.

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Recent paper by Balenzuela et al. presented an exact algorithm for computing the posterior distribution of current and future observations given the current state, p(x_n|y_n,… ,y_N), which is required when computing fixed-interval smoother of the state by a two-filter formula. In this note, it will be shown that their algorithm is equivalent to the backward filter obtained by applying an information filter to the reverse state-space model. Although their algorithm is proposed for complex Gaussian mixture distribution models, in this note, we consider the case of simple state-space models with respect to filter computation.