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589
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.
Prediction of complete gene structures in human genomic DNA
 J. Mol. Biol
, 1997
"... The problem of identifying genes in genomic DNA sequences by computational methods has attracted considerable research attention in recent years. From one point of view, the problem is closely ..."
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Cited by 738 (7 self)
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The problem of identifying genes in genomic DNA sequences by computational methods has attracted considerable research attention in recent years. From one point of view, the problem is closely
Quantization
 IEEE TRANS. INFORM. THEORY
, 1998
"... The history of the theory and practice of quantization dates to 1948, although similar ideas had appeared in the literature as long ago as 1898. The fundamental role of quantization in modulation and analogtodigital conversion was first recognized during the early development of pulsecode modula ..."
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Cited by 639 (11 self)
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The history of the theory and practice of quantization dates to 1948, although similar ideas had appeared in the literature as long ago as 1898. The fundamental role of quantization in modulation and analogtodigital conversion was first recognized during the early development of pulsecode modulation systems, especially in the 1948 paper of Oliver, Pierce, and Shannon. Also in 1948, Bennett published the first highresolution analysis of quantization and an exact analysis of quantization noise for Gaussian processes, and Shannon published the beginnings of rate distortion theory, which would provide a theory for quantization as analogtodigital conversion and as data compression. Beginning with these three papers of fifty years ago, we trace the history of quantization from its origins through this decade, and we survey the fundamentals of the theory and many of the popular and promising techniques for quantization.
Maximum A Posteriori Estimation for Multivariate Gaussian Mixture Observations of Markov Chains
 IEEE Transactions on Speech and Audio Processing
, 1994
"... In this paper a framework for maximum a posteriori (MAP) estimation of hidden Markov models (HMM) is presented. Three key issues of MAP estimation, namely the choice of prior distribution family, the specification of the parameters of prior densities and the evaluation of the MAP estimates, are addr ..."
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Cited by 491 (39 self)
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In this paper a framework for maximum a posteriori (MAP) estimation of hidden Markov models (HMM) is presented. Three key issues of MAP estimation, namely the choice of prior distribution family, the specification of the parameters of prior densities and the evaluation of the MAP estimates, are addressed. Using HMMs with Gaussian mixture state observation densities as an example, it is assumed that the prior densities for the HMM parameters can be adequately represented as a product of Dirichlet and normalWishart densities. The classical maximum likelihood estimation algorithms, namely the forwardbackward algorithm and the segmental kmeans algorithm, are expanded and MAP estimation formulas are developed. Prior density estimation issues are discussed for two classes of applications: parameter smoothing and model adaptation, and some experimental results are given illustrating the practical interest of this approach. Because of its adaptive nature, Bayesian learning is shown to serve as a unified approach for a wide range of speech recognition applications
Constructing Free Energy Approximations and Generalized Belief Propagation Algorithms
 IEEE Transactions on Information Theory
, 2005
"... Important inference problems in statistical physics, computer vision, errorcorrecting coding theory, and artificial intelligence can all be reformulated as the computation of marginal probabilities on factor graphs. The belief propagation (BP) algorithm is an efficient way to solve these problems t ..."
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Cited by 414 (12 self)
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Important inference problems in statistical physics, computer vision, errorcorrecting coding theory, and artificial intelligence can all be reformulated as the computation of marginal probabilities on factor graphs. The belief propagation (BP) algorithm is an efficient way to solve these problems that is exact when the factor graph is a tree, but only approximate when the factor graph has cycles. We show that BP fixed points correspond to the stationary points of the Bethe approximation of the free energy for a factor graph. We explain how to obtain regionbased free energy approximations that improve the Bethe approximation, and corresponding generalized belief propagation (GBP) algorithms. We emphasize the conditions a free energy approximation must satisfy in order to be a “valid ” or “maxentnormal ” approximation. We describe the relationship between four different methods that can be used to generate valid approximations: the “Bethe method, ” the “junction graph method, ” the “cluster variation method, ” and the “region graph method.” Finally, we explain how to tell whether a regionbased approximation, and its corresponding GBP algorithm, is likely to be accurate, and describe empirical results showing that GBP can significantly outperform BP.
Parameterisation of a Stochastic Model for Human Face Identification
, 1994
"... Recent work on face identification using continuous density Hidden Markov Models (HMMs) has shown that stochastic modelling can be used successfully to encode feature information. When frontal images of faces are sampled using topbottom scanning, there is a natural order in which the features appe ..."
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Cited by 255 (0 self)
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Recent work on face identification using continuous density Hidden Markov Models (HMMs) has shown that stochastic modelling can be used successfully to encode feature information. When frontal images of faces are sampled using topbottom scanning, there is a natural order in which the features appear and this can be conveniently modelled using a topbottom HMM. However, a topbottom HMM is characterised by different parameters, the choice of which has so far been based on subjective intuition. This paper presents a set of experimental results in which various HMM parameterisations are analysed.
Closest Point Search in Lattices
 IEEE TRANS. INFORM. THEORY
, 2000
"... In this semitutorial paper, a comprehensive survey of closestpoint search methods for lattices without a regular structure is presented. The existing search strategies are described in a unified framework, and differences between them are elucidated. An efficient closestpoint search algorithm, ba ..."
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Cited by 194 (1 self)
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In this semitutorial paper, a comprehensive survey of closestpoint search methods for lattices without a regular structure is presented. The existing search strategies are described in a unified framework, and differences between them are elucidated. An efficient closestpoint search algorithm, based on the SchnorrEuchner variation of the Pohst method, is implemented. Given an arbitrary point x 2 R m and a generator matrix for a lattice , the algorithm computes the point of that is closest to x. The algorithm is shown to be substantially faster than other known methods, by means of a theoretical comparison with the Kannan algorithm and an experimental comparison with the Pohst algorithm and its variants, such as the recent ViterboBoutros decoder. The improvement increases with the dimension of the lattice. Modifications of the algorithm are developed to solve a number of related search problems for lattices, such as finding a shortest vector, determining the kissing number, compu...
Learning String Edit Distance
, 1997
"... In many applications, it is necessary to determine the similarity of two strings. A widelyused notion of string similarity is the edit distance: the minimum number of insertions, deletions, and substitutions required to transform one string into the other. In this report, we provide a stochastic mo ..."
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Cited by 193 (2 self)
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In many applications, it is necessary to determine the similarity of two strings. A widelyused notion of string similarity is the edit distance: the minimum number of insertions, deletions, and substitutions required to transform one string into the other. In this report, we provide a stochastic model for string edit distance. Our stochastic model allows us to learn a string edit distance function from a corpus of examples. We illustrate the utility of our approach by applying it to the difficult problem of learning the pronunciation of words in conversational speech. In this application, we learn a string edit distance with nearly one fifth the error rate of the untrained Levenshtein distance. Our approach is applicable to any string classification problem that may be solved using a similarity function against a database of labeled prototypes.
Improved lowdensity paritycheck codes using irregular graphs
 IEEE Trans. Inform. Theory
, 2001
"... Abstract—We construct new families of errorcorrecting codes based on Gallager’s lowdensity paritycheck codes. We improve on Gallager’s results by introducing irregular paritycheck matrices and a new rigorous analysis of harddecision decoding of these codes. We also provide efficient methods for ..."
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Cited by 170 (15 self)
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Abstract—We construct new families of errorcorrecting codes based on Gallager’s lowdensity paritycheck codes. We improve on Gallager’s results by introducing irregular paritycheck matrices and a new rigorous analysis of harddecision decoding of these codes. We also provide efficient methods for finding good irregular structures for such decoding algorithms. Our rigorous analysis based on martingales, our methodology for constructing good irregular codes, and the demonstration that irregular structure improves performance constitute key points of our contribution. We also consider irregular codes under belief propagation. We report the results of experiments testing the efficacy of irregular codes on both binarysymmetric and Gaussian channels. For example, using belief propagation, for rate I R codes on 16 000 bits over a binarysymmetric channel, previous lowdensity paritycheck codes can correct up to approximately 16 % errors, while our codes correct over 17%. In some cases our results come very close to reported results for turbo codes, suggesting that variations of irregular low density paritycheck codes may be able to match or beat turbo code performance. Index Terms—Belief propagation, concentration theorem, Gallager codes, irregular codes, lowdensity paritycheck codes.
Hidden Markov processes
 IEEE Trans. Inform. Theory
, 2002
"... Abstract—An overview of statistical and informationtheoretic aspects of hidden Markov processes (HMPs) is presented. An HMP is a discretetime finitestate homogeneous Markov chain observed through a discretetime memoryless invariant channel. In recent years, the work of Baum and Petrie on finite ..."
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Cited by 170 (3 self)
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Abstract—An overview of statistical and informationtheoretic aspects of hidden Markov processes (HMPs) is presented. An HMP is a discretetime finitestate homogeneous Markov chain observed through a discretetime memoryless invariant channel. In recent years, the work of Baum and Petrie on finitestate finitealphabet HMPs was expanded to HMPs with finite as well as continuous state spaces and a general alphabet. In particular, statistical properties and ergodic theorems for relative entropy densities of HMPs were developed. Consistency and asymptotic normality of the maximumlikelihood (ML) parameter estimator were proved under some mild conditions. Similar results were established for switching autoregressive processes. These processes generalize HMPs. New algorithms were developed for estimating the state, parameter, and order of an HMP, for universal coding and classification of HMPs, and for universal decoding of hidden Markov channels. These and other related topics are reviewed in this paper. Index Terms—Baum–Petrie algorithm, entropy ergodic theorems, finitestate channels, hidden Markov models, identifiability, Kalman filter, maximumlikelihood (ML) estimation, order estimation, recursive parameter estimation, switching autoregressive processes, Ziv inequality. I.