Distributed Kalman Filter via Gaussian Belief Propagation

Abstract--Recent result shows how to compute distributively and efficiently the linear MMSE for the multiuser detection problem, using the Gaussian BP algorithm. In the current work, we extend this construction, and show that operating this algorithm twice on the matching inputs, has several interesting interpretations. First, we show equivalence to computing one iteration of the Kalman filter. Second, we show that the Kalman filter is a special case of the Gaussian information bottleneck algorithm, when the

• Type: Journal
• Year: 2008
• Where: CORR
• Authors: Danny Bickson, Ori Shental, Danny Dolev
• Keywords: CORR 2008, Education, Gaussian BP Algorithm, Kalman Filter, Show