ELL719: Assignment V

Q1. Suppose that the state of a system evolves as:

x(t + 1) = Ax(t) + w(t)

|{z}
∼N (0,Q)

and the observation sequence is given by:

y(t) = Cx(t) + v(t)
|{z}
∼N (0,R)

Let A, Q, C, R be square matrices with appropriate dimensions. Assume that x(0) = 0 is known. Find
the distribution of y(t) in terms of A, Q, C, R.
.
Let us use a Kalman filter to estimate x̂(t) = E(x(t)|{y(τ )}τ ≤t ) = Ax̂(t−1)+K(y(t)−CAx̂(t−1))
with the Kalman gain matrix constant over time. How can you calculate the conditional probability density
values p(x(t + 3)|{y(τ )}τ ≤t ) and p(x(t − 1)|{y(τ )}τ ≤t ) using the output of this Kalman filter?

Q2. Read Bishop’s Chapter 9 (PR and ML book) and write in your own words the EM algorithm for
Gaussian mixture model.

Plagiarism will be punished by deduction of 10 marks from your total final marks.