Sequential Monte Carlo Methods for Nonlinear Discrete-Time Filtering

Language: English

Published by Springer, Springer Jan 2013, 2013

3031014073 / 9783031014079

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This item is printed on demand - Print on Demand Titel. Neuware -In these notes, we introduce particle filtering as a recursive importance sampling method that approximates the minimum-mean-square-error (MMSE) estimate of a sequence of hidden state vectors in scenarios where the joint probability distribution of the states and the observations is non-Gaussian and, therefore, closed-form analytical expressions for the MMSE estimate are generally unavailable.We begin the notes with a review of Bayesian approaches to static (i.e., time-invariant) parameter estimation. In the sequel, we describe the solution to the problem of sequential state estimation in linear, Gaussian dynamic models, which corresponds to the well-known Kalman (or Kalman-Bucy) filter. Finally, we move to the general nonlinear, non-Gaussian stochastic filtering problem and present particle filtering as a sequential Monte Carlo approach to solve that problem in a statistically optimal way.We review several techniques to improve the performance of particle filters, including importance function optimization, particle resampling, Markov Chain Monte Carlo move steps, auxiliary particle filtering, and regularized particle filtering. We also discuss Rao-Blackwellized particle filtering as a technique that is particularly well-suited for many relevant applications such as fault detection and inertial navigation. Finally, we conclude the notes with a discussion on the emerging topic of distributed particle filtering using multiple processors located at remote nodes in a sensor network.Throughout the notes, we often assume a more general framework than in most introductory textbooks by allowing either the observation model or the hidden state dynamic model to include unknown parameters. In a fully Bayesian fashion, we treat those unknown parameters also as random variables. Using suitable dynamic conjugate priors, that approach can be applied then to perform joint state and parameter estimation.Table of Contents: Introduction / Bayesian Estimation of Static Vectors / The Stochastic Filtering Problem / Sequential Monte Carlo Methods / Sampling/Importance Resampling (SIR) Filter / Importance Function Selection / Markov Chain Monte Carlo Move Step / Rao-Blackwellized Particle Filters / Auxiliary Particle Filter / Regularized Particle Filters / Cooperative Filtering with Multiple Observers / Application Examples / SummarySpringer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 100 pp. Englisch.…

Seller Inventory # 9783031014079

Title
Sequential Monte Carlo Methods for Nonlinear Discrete-Time Filtering
Author
Marcelo G. S. Bruno
Publisher
Springer, Springer Jan 2013
Publication year
2013
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3031014073
ISBN 13
9783031014079
Item weight
205 grams
Dimensions
235x191x6 mm

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