Results 11  20
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39
Visual Motion Analysis by Probabilistic Propagation of Conditional Density
, 1998
"... This thesis establishes a stochastic framework for tracking curves in visual clutter, using a Bayesian randomsampling algorithm. The approach is rooted in ideas from statistics, control theory and computer vision. The problem is to track outlines and features of foreground objects, modelled as curv ..."
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Cited by 27 (0 self)
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This thesis establishes a stochastic framework for tracking curves in visual clutter, using a Bayesian randomsampling algorithm. The approach is rooted in ideas from statistics, control theory and computer vision. The problem is to track outlines and features of foreground objects, modelled as curves, as they move in substantial clutter, and to do it at, or close to, video framerate. The algorithm, named Condensation, for Conditional density propagation, has recently been derived independently by several researchers, and is generating signi cant interest in the statistics and signal processing communities. This thesis contributes to the literature on Condensationlike lters by presenting some novel applications of and extensions to the basic algorithm, and contributes to the visual motion estimation literature by demonstrating high tracking performance in cluttered environments. Despite its power the Condensation algorithm has a remarkably simple form and this allows the use of nonlinear motion models which combine characteristics of discrete Hidden Markov Models with the continuous AutoRegressive Process motion models traditionally used in Kalman lters. These mixed discretecontinuous models have promising applications to the emerging eld of perception of action. This thesis also implements two algorithms to smooth the output of the Condensation lter which improves the accuracy of motion estimation in a batchmode procedure after tracking is complete.
Building Robust Simulationbased Filters for Evolving Data Sets
, 1999
"... this paper we will focus on an alternative class of filters in which theoretical distributions on the state space are approximated by simulated random measures. The first goal in filter design is to produce a compact description of the posterior distribution of the state given all the observations a ..."
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Cited by 26 (0 self)
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this paper we will focus on an alternative class of filters in which theoretical distributions on the state space are approximated by simulated random measures. The first goal in filter design is to produce a compact description of the posterior distribution of the state given all the observations available so far. A basic requirement is that this description should be readily updated as new data become available. A mechanism has therefore to be devised which enables the approximating random measure to evolve and adapt. 3 SIMULATION BASED FILTERS Simulation based filters have a long history in the engineering literature, dating back to the work of Handschin and Mayne (1969); Handschin (1970); Akashi and Kumamoto (1977). Doucet (1998) provides a comprehensive review of the material. Since the Kalman filter is essentially a Bayesian update formula, the theory of Bayesian time series analysis is directly relevant (West and Harrison, 1997). We take as our starting point the filter developed by Gordon (1993); Gordon et al. (1993). The essence of the method is contained in a paper by Rubin (1988) who proposed the Sampling Importance Resampling (SIR) algorithm for obtaining samples from a complex posterior distribution without recourse to MCMC. In the simple nondynamic case described by Rubin (1988), the method consists of sampling n observations from the prior distribution, attaching weights to the sampled points according to their likelihood, and then sampling with replacement from this weighted discrete distribution. As n ! 1, the resulting set of values then approximates a sample from the required posterior (Smith and Gelfand, 1992). In the dynamic version, proposed by Gordon et al. (1993), the SIR algorithm is applied repeatedly as new data are acquired. One can think of...
Diagnosis by a waiter and a mars explorer
 In Invited paper for Proceedings of the IEEE, special
, 2004
"... This paper shows how stateoftheart state estimation techniques can be used to provide efficient solutions to the difficult problem of realtime diagnosis in mobile robots. The power of the adopted estimation techniques resides in our ability to combine particle filters with classical algorithms, ..."
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Cited by 26 (3 self)
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This paper shows how stateoftheart state estimation techniques can be used to provide efficient solutions to the difficult problem of realtime diagnosis in mobile robots. The power of the adopted estimation techniques resides in our ability to combine particle filters with classical algorithms, such as Kalman filters. We demonstrate these techniques in two scenarios: a mobile waiter robot and planetary rovers designed by NASA for Mars exploration. Keywords—Diagnosis, Rao–Blackwellized particle filtering, robotics, state estimation. I.
A Survey of Maneuvering Target Tracking  Part V: MultipleModel Methods
, 2003
"... ... without addressing the socalled measurementorigin uncertainty. Part I and Part II deal with target motion models. Part III covers measurement models and associated techniques. Part IV is concerned with tracking techniques that are based on decisions regarding target maneuvers. This part surv ..."
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Cited by 20 (0 self)
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... without addressing the socalled measurementorigin uncertainty. Part I and Part II deal with target motion models. Part III covers measurement models and associated techniques. Part IV is concerned with tracking techniques that are based on decisions regarding target maneuvers. This part surveys the multiplemodel methodsthe use of multiple models (and filters) simultaneouslywhich is the prevailing approach to maneuvering target tracking in the recent years. The survey is presented in a structured way, centered around three generations of algorithms: autonomous, cooperating, and variable structure. It emphasizes on the underpinning of each algorithm and covers various issues in algorithm design, application, and performance.
Particle Filtering for Multisensor Data Fusion with Switching Observation Models. Application to Land Vehicle
 Positioning, in "IEEE transactions on Signal Processing
, 2006
"... This paper concerns the sequential estimation of a hidden state vector from noisy observations delivered by several sensors. Different from the standard framework, we assume here that the sensors may switch autonomously between different sensor states, that is, between different observation models. ..."
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Cited by 14 (0 self)
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This paper concerns the sequential estimation of a hidden state vector from noisy observations delivered by several sensors. Different from the standard framework, we assume here that the sensors may switch autonomously between different sensor states, that is, between different observation models. This includes sensor failure or sensor functioning conditions change. In our model, sensor states are represented by discrete latent variables, which prior probabilities are Markovian. We propose a family of efficient particle filters, for both synchronous and asynchronous sensor observations, as well as for important special cases. Moreover, we discuss connections with previous works. Finally, we study thoroughly a wheel land vehicle positioning problem where the GPS information may be unreliable because of multipath/masking effects. EDICS: SEN FUS
Sequential Monte Carlo Methods For Optimisation Of Neural Network Models
, 1998
"... We discuss a novel strategy for training neural networks using sequential Monte Carlo algorithms and propose a new hybrid gradient descent/sampling importance resampling algorithm (HySIR). In terms of both computational time and accuracy, the hybrid SIR is a clear improvement over conventional seque ..."
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Cited by 10 (0 self)
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We discuss a novel strategy for training neural networks using sequential Monte Carlo algorithms and propose a new hybrid gradient descent/sampling importance resampling algorithm (HySIR). In terms of both computational time and accuracy, the hybrid SIR is a clear improvement over conventional sequential Monte Carlo techniques. The new algorithm may be viewed as a global optimisation strategy, which allows us to learn the probability distributions of the network weights and outputs in a sequential framework. It is well suited to applications involving online, nonlinear and nonGaussian signal processing. We show how the new algorithm outperforms extended Kalman filter training on several problems. In particular, we address the problem of pricing option contracts, traded in financial markets. In this context, we are able to estimate the onestepahead probability density functions of the options prices.
A survey of sequential Monte Carlo methods for economics and finance
, 2009
"... This paper serves as an introduction and survey for economists to the field of sequential Monte Carlo methods which are also known as particle filters. Sequential Monte Carlo methods are simulation based algorithms used to compute the highdimensional and/or complex integrals that arise regularly in ..."
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Cited by 10 (1 self)
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This paper serves as an introduction and survey for economists to the field of sequential Monte Carlo methods which are also known as particle filters. Sequential Monte Carlo methods are simulation based algorithms used to compute the highdimensional and/or complex integrals that arise regularly in applied work. These methods are becoming increasingly popular in economics and finance; from dynamic stochastic general equilibrium models in macroeconomics to option pricing. The objective of this paper is to explain the basics of the methodology, provide references to the literature, and cover some of the theoretical results that justify the methods in practice.
Bayesian Methods for Neural Networks
, 1999
"... Summary The application of the Bayesian learning paradigm to neural networks results in a flexible and powerful nonlinear modelling framework that can be used for regression, density estimation, prediction and classification. Within this framework, all sources of uncertainty are expressed and meas ..."
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Cited by 9 (0 self)
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Summary The application of the Bayesian learning paradigm to neural networks results in a flexible and powerful nonlinear modelling framework that can be used for regression, density estimation, prediction and classification. Within this framework, all sources of uncertainty are expressed and measured by probabilities. This formulation allows for a probabilistic treatment of our a priori knowledge, domain specific knowledge, model selection schemes, parameter estimation methods and noise estimation techniques. Many researchers have contributed towards the development of the Bayesian learning approach for neural networks. This thesis advances this research by proposing several novel extensions in the areas of sequential learning, model selection, optimisation and convergence assessment. The first contribution is a regularisation strategy for sequential learning based on extended Kalman filtering and noise estimation via evidence maximisation. Using the expectation maximisation (EM) algorithm, a similar algorithm is derived for batch learning. Much of the thesis is, however, devoted to Monte Carlo simulation methods. A robust Bayesian method is proposed to estimate,
OnLine Bayesian Modelling and Enhancement of Speech Signals
, 2000
"... This paper applies timevarying autoregressive (TVAR) models with stochastically evolving parameters to the problem of speech modelling and enhancement. The stochastic evolution models for the TVAR parameters are Markovian diusion processes. The main aim of the paper is to perform online estimation ..."
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Cited by 9 (8 self)
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This paper applies timevarying autoregressive (TVAR) models with stochastically evolving parameters to the problem of speech modelling and enhancement. The stochastic evolution models for the TVAR parameters are Markovian diusion processes. The main aim of the paper is to perform online estimation of the clean speech and model parameters, and to determine the adequacy of the chosen statistical models. Ecient simulationbased methods are developed to solve the optimal ltering and xedlag smoothing problems. The algorithms combine sequential importance sampling (SIS), a selection step and Markov chain Monte Carlo (MCMC) methods. They employ of several variance reduction strategies to make the best use of the statistical structure of the model. It is also shown how model adequacy may be determined by combining the simulationbased optimal lter with frequentist methods. The modelling and enhancement performance of the models and estimation algorithms are evaluated in simulation studi...