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116
A tutorial on particle filters for online nonlinear/nonGaussian Bayesian tracking
 IEEE TRANSACTIONS ON SIGNAL PROCESSING
, 2002
"... Increasingly, for many application areas, it is becoming important to include elements of nonlinearity and nonGaussianity in order to model accurately the underlying dynamics of a physical system. Moreover, it is typically crucial to process data online as it arrives, both from the point of view o ..."
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Cited by 1137 (2 self)
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Increasingly, for many application areas, it is becoming important to include elements of nonlinearity and nonGaussianity in order to model accurately the underlying dynamics of a physical system. Moreover, it is typically crucial to process data online as it arrives, both from the point of view of storage costs as well as for rapid adaptation to changing signal characteristics. In this paper, we review both optimal and suboptimal Bayesian algorithms for nonlinear/nonGaussian tracking problems, with a focus on particle filters. Particle filters are sequential Monte Carlo methods based on point mass (or “particle”) representations of probability densities, which can be applied to any statespace model and which generalize the traditional Kalman filtering methods. Several variants of the particle filter such as SIR, ASIR, and RPF are introduced within a generic framework of the sequential importance sampling (SIS) algorithm. These are discussed and compared with the standard EKF through an illustrative example.
Robust Monte Carlo Localization for Mobile Robots
, 2001
"... Mobile robot localization is the problem of determining a robot's pose from sensor data. This article presents a family of probabilistic localization algorithms known as Monte Carlo Localization (MCL). MCL algorithms represent a robot's belief by a set of weighted hypotheses (samples), which approxi ..."
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Cited by 608 (83 self)
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Mobile robot localization is the problem of determining a robot's pose from sensor data. This article presents a family of probabilistic localization algorithms known as Monte Carlo Localization (MCL). MCL algorithms represent a robot's belief by a set of weighted hypotheses (samples), which approximate the posterior under a common Bayesian formulation of the localization problem. Building on the basic MCL algorithm, this article develops a more robust algorithm called MixtureMCL, which integrates two complimentary ways of generating samples in the estimation. To apply this algorithm to mobile robots equipped with range finders, a kernel density tree is learned that permits fast sampling. Systematic empirical results illustrate the robustness and computational efficiency of the approach.
Dynamic Bayesian Networks: Representation, Inference and Learning
, 2002
"... Modelling sequential data is important in many areas of science and engineering. Hidden Markov models (HMMs) and Kalman filter models (KFMs) are popular for this because they are simple and flexible. For example, HMMs have been used for speech recognition and biosequence analysis, and KFMs have bee ..."
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Cited by 564 (3 self)
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Modelling sequential data is important in many areas of science and engineering. Hidden Markov models (HMMs) and Kalman filter models (KFMs) are popular for this because they are simple and flexible. For example, HMMs have been used for speech recognition and biosequence analysis, and KFMs have been used for problems ranging from tracking planes and missiles to predicting the economy. However, HMMs
and KFMs are limited in their “expressive power”. Dynamic Bayesian Networks (DBNs) generalize HMMs by allowing the state space to be represented in factored form, instead of as a single discrete random variable. DBNs generalize KFMs by allowing arbitrary probability distributions, not just (unimodal) linearGaussian. In this thesis, I will discuss how to represent many different kinds of models as DBNs, how to perform exact and approximate inference in DBNs, and how to learn DBN models from sequential data.
In particular, the main novel technical contributions of this thesis are as follows: a way of representing
Hierarchical HMMs as DBNs, which enables inference to be done in O(T) time instead of O(T 3), where T is the length of the sequence; an exact smoothing algorithm that takes O(log T) space instead of O(T); a simple way of using the junction tree algorithm for online inference in DBNs; new complexity bounds on exact online inference in DBNs; a new deterministic approximate inference algorithm called factored frontier; an analysis of the relationship between the BK algorithm and loopy belief propagation; a way of
applying RaoBlackwellised particle filtering to DBNs in general, and the SLAM (simultaneous localization
and mapping) problem in particular; a way of extending the structural EM algorithm to DBNs; and a variety of different applications of DBNs. However, perhaps the main value of the thesis is its catholic presentation of the field of sequential data modelling.
The Infinite Hidden Markov Model
 Machine Learning
, 2002
"... We show that it is possible to extend hidden Markov models to have a countably infinite number of hidden states. By using the theory of Dirichlet processes we can implicitly integrate out the infinitely many transition parameters, leaving only three hyperparameters which can be learned from data. Th ..."
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Cited by 488 (33 self)
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We show that it is possible to extend hidden Markov models to have a countably infinite number of hidden states. By using the theory of Dirichlet processes we can implicitly integrate out the infinitely many transition parameters, leaving only three hyperparameters which can be learned from data. These three hyperparameters define a hierarchical Dirichlet process capable of capturing a rich set of transition dynamics. The three hyperparameters control the time scale of the dynamics, the sparsity of the underlying statetransition matrix, and the expected number of distinct hidden states in a finite sequence. In this framework it is also natural to allow the alphabet of emitted symbols to be infiniteconsider, for example, symbols being possible words appearing in English text.
Maximum entropy markov models for information extraction and segmentation
, 2000
"... Hidden Markov models (HMMs) are a powerful probabilistic tool for modeling sequential data, and have been applied with success to many textrelated tasks, such as partofspeech tagging, text segmentation and information extraction. In these cases, the observations are usually modeled as multinomial ..."
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Cited by 439 (18 self)
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Hidden Markov models (HMMs) are a powerful probabilistic tool for modeling sequential data, and have been applied with success to many textrelated tasks, such as partofspeech tagging, text segmentation and information extraction. In these cases, the observations are usually modeled as multinomial distributions over a discrete vocabulary, and the HMM parameters are set to maximize the likelihood of the observations. This paper presents a new Markovian sequence model, closely related to HMMs, that allows observations to be represented as arbitrary overlapping features (such as word, capitalization, formatting, partofspeech), and defines the conditional probability of state sequences given observation sequences. It does this by using the maximum entropy framework to fit a set of exponential models that represent the probability of a state given an observation and the previous state. We present positive experimental results on the segmentation of FAQ’s. 1.
Monte Carlo Localization: Efficient Position Estimation for Mobile Robots
 IN PROC. OF THE NATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE (AAAI
, 1999
"... This paper presents a new algorithm for mobile robot localization, called Monte Carlo Localization (MCL). MCL is a version of Markov localization, a family of probabilistic approaches that have recently been applied with great practical success. However, previous approaches were either computational ..."
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Cited by 277 (51 self)
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This paper presents a new algorithm for mobile robot localization, called Monte Carlo Localization (MCL). MCL is a version of Markov localization, a family of probabilistic approaches that have recently been applied with great practical success. However, previous approaches were either computationally cumbersome (such as gridbased approaches that represent the state space by highresolution 3D grids), or had to resort to extremely coarsegrained resolutions. Our approach is computationally efficient while retaining the ability to represent (almost) arbitrary distributions. MCL applies samplingbased methods for approximating probability distributions, in a way that places computation " where needed." The number of samples is adapted online, thereby invoking large sample sets only when necessary. Empirical results illustrate that MCL yields improved accuracy while requiring an order of magnitude less computation when compared to previous approaches. It is also much easier to implement...
Tractable inference for complex stochastic processes
 In Proc. UAI
, 1998
"... The monitoring and control of any dynamic system depends crucially on the ability to reason about its current status and its future trajectory. In the case of a stochastic system, these tasks typically involve the use of a belief state—a probability distribution over the state of the process at a gi ..."
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Cited by 265 (13 self)
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The monitoring and control of any dynamic system depends crucially on the ability to reason about its current status and its future trajectory. In the case of a stochastic system, these tasks typically involve the use of a belief state—a probability distribution over the state of the process at a given point in time. Unfortunately, the state spaces of complex processes are very large, making an explicit representation of a belief state intractable. Even in dynamic Bayesian networks (DBNs), where the process itself can be represented compactly, the representation of the belief state is intractable. We investigate the idea of maintaining a compact approximation to the true belief state, and analyze the conditions under which the errors due to the approximations taken over the lifetime of the process do not accumulate to make our answers completely irrelevant. We show that the error in a belief state contracts exponentially as the process evolves. Thus, even with multiple approximations, the error in our process remains bounded indefinitely. We show how the additional structure of a DBN can be used to design our approximation scheme, improving its performance significantly. We demonstrate the applicability of our ideas in the context of a monitoring task, showing that orders of magnitude faster inference can be achieved with only a small degradation in accuracy. 1
RaoBlackwellised Particle Filtering for Dynamic Bayesian Networks
"... Particle filters (PFs) are powerful samplingbased inference/learning algorithms for dynamic Bayesian networks (DBNs). They allow us to treat, in a principled way, any type of probability distribution, nonlinearity and nonstationarity. They have appeared in several fields under such names as “conde ..."
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Cited by 256 (10 self)
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Particle filters (PFs) are powerful samplingbased inference/learning algorithms for dynamic Bayesian networks (DBNs). They allow us to treat, in a principled way, any type of probability distribution, nonlinearity and nonstationarity. They have appeared in several fields under such names as “condensation”, “sequential Monte Carlo” and “survival of the fittest”. In this paper, we show how we can exploit the structure of the DBN to increase the efficiency of particle filtering, using a technique known as RaoBlackwellisation. Essentially, this samples some of the variables, and marginalizes out the rest exactly, using the Kalman filter, HMM filter, junction tree algorithm, or any other finite dimensional optimal filter. We show that RaoBlackwellised particle filters (RBPFs) lead to more accurate estimates than standard PFs. We demonstrate RBPFs on two problems, namely nonstationary online regression with radial basis function networks and robot localization and map building. We also discuss other potential application areas and provide references to some Þnite dimensional optimal filters.
An Introduction to MCMC for Machine Learning
, 2003
"... This purpose of this introductory paper is threefold. First, it introduces the Monte Carlo method with emphasis on probabilistic machine learning. Second, it reviews the main building blocks of modern Markov chain Monte Carlo simulation, thereby providing and introduction to the remaining papers of ..."
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Cited by 222 (2 self)
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This purpose of this introductory paper is threefold. First, it introduces the Monte Carlo method with emphasis on probabilistic machine learning. Second, it reviews the main building blocks of modern Markov chain Monte Carlo simulation, thereby providing and introduction to the remaining papers of this special issue. Lastly, it discusses new interesting research horizons.
Learning the structure of dynamic probabilistic networks
, 1998
"... Dynamic probabilistic networks are a compact representation of complex stochastic processes. In this paper we examine how to learn the structure of a DPN from data. We extend structure scoring rules for standard probabilistic networks to the dynamic case, and show how to search for structure when so ..."
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Cited by 217 (13 self)
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Dynamic probabilistic networks are a compact representation of complex stochastic processes. In this paper we examine how to learn the structure of a DPN from data. We extend structure scoring rules for standard probabilistic networks to the dynamic case, and show how to search for structure when some of the variables are hidden. Finally, we examine two applications where such a technology might be useful: predicting and classifying dynamic behaviors, and learning causal orderings in biological processes. We provide empirical results that demonstrate the applicability of our methods in both domains. 1