Results 1  10
of
582
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 ..."
Abstract

Cited by 1974 (2 self)
 Add to MetaCart
(Show Context)
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.
CONDENSATION  conditional density propagation for visual tracking
 International Journal of Computer Vision
, 1998
"... The problem of tracking curves in dense visual clutter is challenging. Kalman filtering is inadequate because it is based on Gaussian densities which, being unimodal, cannot represent simultaneous alternative hypotheses. The Condensation algorithm uses "factored sampling", previously appli ..."
Abstract

Cited by 1499 (12 self)
 Add to MetaCart
(Show Context)
The problem of tracking curves in dense visual clutter is challenging. Kalman filtering is inadequate because it is based on Gaussian densities which, being unimodal, cannot represent simultaneous alternative hypotheses. The Condensation algorithm uses "factored sampling", previously applied to the interpretation of static images, in which the probability distribution of possible interpretations is represented by a randomly generated set. Condensation uses learned dynamical models, together with visual observations, to propagate the random set over time. The result is highly robust tracking of agile motion. Notwithstanding the use of stochastic methods, the algorithm runs in near realtime. Contents 1 Tracking curves in clutter 2 2 Discretetime propagation of state density 3 3 Factored sampling 6 4 The Condensation algorithm 8 5 Stochastic dynamical models for curve motion 10 6 Observation model 13 7 Applying the Condensation algorithm to videostreams 17 8 Conclusions 26 A Nonline...
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), whi ..."
Abstract

Cited by 826 (88 self)
 Add to MetaCart
(Show Context)
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.
Filtering via simulation: Auxiliary particle filter, The
 Journal of the American Statistical Association
, 1999
"... ..."
Sequential Monte Carlo Methods for Dynamic Systems
 Journal of the American Statistical Association
, 1998
"... A general framework for using Monte Carlo methods in dynamic systems is provided and its wide applications indicated. Under this framework, several currently available techniques are studied and generalized to accommodate more complex features. All of these methods are partial combinations of three ..."
Abstract

Cited by 650 (12 self)
 Add to MetaCart
(Show Context)
A general framework for using Monte Carlo methods in dynamic systems is provided and its wide applications indicated. Under this framework, several currently available techniques are studied and generalized to accommodate more complex features. All of these methods are partial combinations of three ingredients: importance sampling and resampling, rejection sampling, and Markov chain iterations. We deliver a guideline on how they should be used and under what circumstance each method is most suitable. Through the analysis of differences and connections, we consolidate these methods into a generic algorithm by combining desirable features. In addition, we propose a general use of RaoBlackwellization to improve performances. Examples from econometrics and engineering are presented to demonstrate the importance of RaoBlackwellization and to compare different Monte Carlo procedures. Keywords: Blind deconvolution; Bootstrap filter; Gibbs sampling; Hidden Markov model; Kalman filter; Markov...
Stochastic volatility: likelihood inference and comparison with ARCH models
 Review of Economic Studies
, 1998
"... In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihoodbased framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the unobserved volatilities at once using an approximating offse ..."
Abstract

Cited by 582 (41 self)
 Add to MetaCart
In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihoodbased framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the unobserved volatilities at once using an approximating offset mixture model, followed by an importance reweighting procedure. This approach is compared with several alternative methods using real data. The paper also develops simulationbased methods for filtering, likelihood evaluation and model failure diagnostics. The issue of model choice using nonnested likelihood ratios and Bayes factors is also investigated. These methods are used to compare the fit of stochastic volatility and GARCH models. All the procedures are illustrated in detail. 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 ..."
Abstract

Cited by 344 (49 self)
 Add to MetaCart
(Show Context)
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...
Learning and inferring transportation routines
, 2004
"... This paper introduces a hierarchical Markov model that can learn and infer a user’s daily movements through the community. The model uses multiple levels of abstraction in order to bridge the gap between raw GPS sensor measurements and high level information such as a user’s mode of transportation ..."
Abstract

Cited by 316 (22 self)
 Add to MetaCart
This paper introduces a hierarchical Markov model that can learn and infer a user’s daily movements through the community. The model uses multiple levels of abstraction in order to bridge the gap between raw GPS sensor measurements and high level information such as a user’s mode of transportation or her goal. We apply RaoBlackwellised particle filters for efficient inference both at the low level and at the higher levels of the hierarchy. Significant locations such as goals or locations where the user frequently changes mode of transportation are learned from GPS data logs without requiring any manual labeling. We show how to detect abnormal behaviors (e.g. taking a wrong bus) by concurrently tracking his activities with a trained and a prior model. Experiments show that our model is able to accurately predict the goals of a person and to recognize situations in which the user performs unknown activities.
Sequential Monte Carlo Samplers
, 2002
"... In this paper, we propose a general algorithm to sample sequentially from a sequence of probability distributions known up to a normalizing constant and de ned on a common space. A sequence of increasingly large arti cial joint distributions is built; each of these distributions admits a marginal ..."
Abstract

Cited by 311 (48 self)
 Add to MetaCart
In this paper, we propose a general algorithm to sample sequentially from a sequence of probability distributions known up to a normalizing constant and de ned on a common space. A sequence of increasingly large arti cial joint distributions is built; each of these distributions admits a marginal which is a distribution of interest. To sample from these distributions, we use sequential Monte Carlo methods. We show that these methods can be interpreted as interacting particle approximations of a nonlinear FeynmanKac ow in distribution space. One interpretation of the FeynmanKac ow corresponds to a nonlinear Markov kernel admitting a speci ed invariant distribution and is a natural nonlinear extension of the standard MetropolisHastings algorithm. Many theoretical results have already been established for such ows and their particle approximations. We demonstrate the use of these algorithms through simulation.
Icondensation: Unifying lowlevel and highlevel tracking in a stochastic framework
, 1998
"... . Tracking research has diverged into two camps; lowlevel approaches which are typically fast and robust but provide little finescale information, and highlevel approaches which track complex deformations in highdimensional spaces but must trade off speed against robustness. Realtime highlevel ..."
Abstract

Cited by 311 (13 self)
 Add to MetaCart
(Show Context)
. Tracking research has diverged into two camps; lowlevel approaches which are typically fast and robust but provide little finescale information, and highlevel approaches which track complex deformations in highdimensional spaces but must trade off speed against robustness. Realtime highlevel systems perform poorly in clutter and initialisation for most highlevel systems is either performed manually or by a separate module. This paper presents a new technique to combine low and highlevel information in a consistent probabilistic framework, using the statistical technique of importance sampling combined with the Condensation algorithm. The general framework, which we term Icondensation, is described, and a hand tracker is demonstrated which combines colour blobtracking with a contour model. The resulting tracker is robust to rapid motion, heavy clutter and handcoloured distractors, and reinitialises automatically. The system runs comfortably in real time on an...