Exactly Sparse Gaussian Variational Inference with Application to Derivative-Free Batch Nonlinear State Estimation

9 Nov 2019Timothy D. BarfootJames R. ForbesDavid Yoon

We present a Gaussian Variational Inference (GVI) technique that can be applied to large-scale nonlinear batch state estimation problems. The main contribution is to show how to fit both the mean and (inverse) covariance of a Gaussian to the posterior efficiently, by exploiting factorization of the joint likelihood of the state and data, as is common in practical problems... (read more)

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