On the reduction of Gaussian inverse Wishart mixtures

This paper presents an algorithm for reduction of Gaussian inverse Wishart mixtures. Sums of an arbitrary number of mixture components are approximated with single components by analytically minimizing the Kullback-Leibler divergence. The Kullback-Leibler difference is used as a criterion for deciding whether or not two components should be merged, and a simple reduction algorithm is given. The reduction algorithm is tested in simulation examples in both one and two dimensions. The results presented in the paper are useful in extended target tracking using the random matrix framework.