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164
Unscented Filtering and Nonlinear Estimation
 Proceedings of the IEEE
, 2004
"... The extended Kalman filter (EKF) is probably the most widely used estimation algorithm for nonlinear systems. However, more than 35 years of experience in the estimation community has shown that is difficult to implement, difficult to tune, and only reliable for systems that are almost linear on the ..."
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Cited by 253 (2 self)
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The extended Kalman filter (EKF) is probably the most widely used estimation algorithm for nonlinear systems. However, more than 35 years of experience in the estimation community has shown that is difficult to implement, difficult to tune, and only reliable for systems that are almost linear on the time scale of the updates. Many of these difficulties arise from its use of linearization. To overcome this limitation, the unscented transformation (UT) was developed as a method to propagate mean and covariance information through nonlinear transformations. It is more accurate, easier to implement, and uses the same order of calculations as linearization. This paper reviews the motivation, development, use, and implications of the UT. Keywords—Estimation, Kalman filtering, nonlinear systems, target tracking. I.
Nonparametric Belief Propagation
 IN CVPR
, 2002
"... In applications of graphical models arising in fields such as computer vision, the hidden variables of interest are most naturally specified by continuous, nonGaussian distributions. However, due to the limitations of existing inf#6F6F3 algorithms, it is of#]k necessary tof#3# coarse, ..."
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Cited by 208 (25 self)
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In applications of graphical models arising in fields such as computer vision, the hidden variables of interest are most naturally specified by continuous, nonGaussian distributions. However, due to the limitations of existing inf#6F6F3 algorithms, it is of#]k necessary tof#3# coarse, discrete approximations to such models. In this paper, we develop a nonparametric belief propagation (NBP) algorithm, which uses stochastic methods to propagate kernelbased approximations to the true continuous messages. Each NBP message update is based on an efficient sampling procedure which can accomodate an extremely broad class of potentialf#l3]k[[z3 allowing easy adaptation to new application areas. We validate our method using comparisons to continuous BP for Gaussian networks, and an application to the stereo vision problem.
On sequential simulationbased methods for bayesian filtering
, 1998
"... Abstract. In this report, we present an overview of sequential simulationbased methods for Bayesian filtering of nonlinear and nonGaussian dynamic models. It includes in a general framework numerous methods proposed independently in various areas of science and proposes some original developments. ..."
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Cited by 207 (14 self)
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Abstract. In this report, we present an overview of sequential simulationbased methods for Bayesian filtering of nonlinear and nonGaussian dynamic models. It includes in a general framework numerous methods proposed independently in various areas of science and proposes some original developments.
An Improved Particle Filter for Nonlinear Problems
, 2004
"... The Kalman filter provides an effective solution to the linearGaussian filtering problem. However, where there is nonlinearity, either in the model specification or the observation process, other methods are required. We consider methods known generically as particle filters, which include the c ..."
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Cited by 156 (8 self)
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The Kalman filter provides an effective solution to the linearGaussian filtering problem. However, where there is nonlinearity, either in the model specification or the observation process, other methods are required. We consider methods known generically as particle filters, which include the condensation algorithm and the Bayesian bootstrap or sampling importance resampling (SIR) filter. These filters
A Monte Carlo Approach to Nonnormal and Nonlinear StateSpace Modeling
, 1992
"... this article then is to develop methodology for modeling the nonnormality of the ut, the vt, or both. A second departure from the model specification ( 1 ) is to allow for unknown variances in the state or observational equation, as well as for unknown parameters in the transition matrices Ft and Ht ..."
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Cited by 126 (14 self)
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this article then is to develop methodology for modeling the nonnormality of the ut, the vt, or both. A second departure from the model specification ( 1 ) is to allow for unknown variances in the state or observational equation, as well as for unknown parameters in the transition matrices Ft and Ht. As a third generalization we allow for nonlinear model structures; that is, X t = ft(Xtl) q Ut, and Yt = ht(xt) + vt, t = 1, ..., n, (2) whereft( ) and ht(. ) are given, but perhaps also depend on some unknown parameters. The experimenter may wish to entertain a variety of error distributions. Our goal throughout the article is an analysis for general statespace models that does not resort to convenient assumptions at the expense of model adequacy
Estimating macroeconomic models: a likelihood approach
, 2006
"... This paper shows how particle filtering facilitates likelihoodbased inference in dynamic macroeconomic models. The economies can be nonlinear and/or nonnormal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those characterizing prefer ..."
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Cited by 57 (21 self)
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This paper shows how particle filtering facilitates likelihoodbased inference in dynamic macroeconomic models. The economies can be nonlinear and/or nonnormal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those characterizing preferences and technology, and to compare different economies. Both tasks can be implemented from either a classical or a Bayesian perspective. We illustrate the technique by estimating a business cycle model with investmentspecific technological change, preference shocks, and stochastic volatility.
The Gaussian mixture probability hypothesis density filter
 IEEE Trans. SP
, 2006
"... Abstract — A new recursive algorithm is proposed for jointly estimating the timevarying number of targets and their states from a sequence of observation sets in the presence of data association uncertainty, detection uncertainty, noise and false alarms. The approach involves modelling the respecti ..."
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Cited by 51 (8 self)
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Abstract — A new recursive algorithm is proposed for jointly estimating the timevarying number of targets and their states from a sequence of observation sets in the presence of data association uncertainty, detection uncertainty, noise and false alarms. The approach involves modelling the respective collections of targets and measurements as random finite sets and applying the probability hypothesis density (PHD) recursion to propagate the posterior intensity, which is a first order statistic of the random finite set of targets, in time. At present, there is no closed form solution to the PHD recursion. This work shows that under linear, Gaussian assumptions on the target dynamics and birth process, the posterior intensity at any time step is a Gaussian mixture. More importantly, closed form recursions for propagating the means, covariances and weights of the constituent Gaussian components of the posterior intensity are derived. The proposed algorithm combines these recursions with a strategy for managing the number of Gaussian components to increase efficiency. This algorithm is extended to accommodate mildly nonlinear target dynamics using approximation strategies from the extended and unscented Kalman filters. Index Terms — Multitarget tracking, optimal filtering, point
Gaussian particle filtering
 IEEE Transactions on Signal Processing
, 2003
"... Abstract—Sequential Bayesian estimation for nonlinear dynamic statespace models involves recursive estimation of filtering and predictive distributions of unobserved time varying signals based on noisy observations. This paper introduces a new filter called the Gaussian particle filter1. It is base ..."
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Cited by 50 (3 self)
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Abstract—Sequential Bayesian estimation for nonlinear dynamic statespace models involves recursive estimation of filtering and predictive distributions of unobserved time varying signals based on noisy observations. This paper introduces a new filter called the Gaussian particle filter1. It is based on the particle filtering concept, and it approximates the posterior distributions by single Gaussians, similar to Gaussian filters like the extended Kalman filter and its variants. It is shown that under the Gaussianity assumption, the Gaussian particle filter is asymptotically optimal in the number of particles and, hence, has muchimproved performance and versatility over other Gaussian filters, especially when nontrivial nonlinearities are present. Simulation results are presented to demonstrate the versatility and improved performance of the Gaussian particle filter over conventional Gaussian filters and the lower complexity than known particle filters. The use of the Gaussian particle filter as a building block of more complex filters is addressed in a companion paper. Index Terms—Dynamic state space models, extended Kalman filter, Gaussian mixture, Gaussian mixture filter, Gaussian particle filter, Gaussian sum filter, Gaussian sum particle filter, Monte Carlo filters, nonlinear nonGaussian stochastic systems, particle filters, sequential Bayesian estimation, sequential sampling methods, unscented Kalman filter. I.
Monte Carlo Filtering for MultiTarget Tracking and Data Association
 IEEE Transactions on Aerospace and Electronic Systems
, 2004
"... In this paper we present Monte Carlo methods for multitarget tracking and data association. The methods are applicable to general nonlinear and nonGaussian models for the target dynamics and measurement likelihood. We provide efficient solutions to two very pertinent problems: the data associat ..."
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Cited by 48 (2 self)
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In this paper we present Monte Carlo methods for multitarget tracking and data association. The methods are applicable to general nonlinear and nonGaussian models for the target dynamics and measurement likelihood. We provide efficient solutions to two very pertinent problems: the data association problem that arises due to unlabelled measurements in the presence of clutter, and the curse of dimensionality that arises due to the increased size of the statespace associated with multiple targets. We develop a number of algorithms to achieve this. The first, which we will refer to as the Monte Carlo Joint Probabilistic Data Association Filter (MCJPDAF), is a generalisation of the strategy proposed in [1], [2]. As is the case for the JPDAF, the distributions of interest are the marginal filtering distributions for each of the targets, but these are approximated with particles rather than Gaussians. We also develop two extensions to the standard particle filtering methodology for tracking multiple targets. The first, which we will refer to as the Sequential Sampling Particle Filter (SSPF), samples the individual targets sequentially by utilising a factorisation of the importance weights. The second, which we will refer to as the Independent Partition Particle Filter (IPPF), assumes the associations to be independent over the individual targets, leading to an efficient componentwise sampling strategy to construct new particles. We evaluate and compare the proposed methods on a challenging synthetic tracking problem.
SigmaPoint Kalman Filters for Probabilistic Inference in Dynamic StateSpace Models
 In Proceedings of the Workshop on Advances in Machine Learning
, 2003
"... Probabilistic inference is the problem of estimating the hidden states of a system in an optimal and consistent fashion given a set of noisy or incomplete observations. The optimal solution to this problem is given by the recursive Bayesian estimation algorithm which recursively updates the post ..."
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Cited by 45 (5 self)
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Probabilistic inference is the problem of estimating the hidden states of a system in an optimal and consistent fashion given a set of noisy or incomplete observations. The optimal solution to this problem is given by the recursive Bayesian estimation algorithm which recursively updates the posterior density of the system state as new observations arrive online.