Related papers: Particle Gaussian Mixture (PGM) Filters
State estimation in non-linear models is performed by tracking the posterior distribution recursively. A plethora of algorithms have been proposed for this task. Among them, the Gaussian particle filter uses a weighted set of particles to…
Gaussian mixtures are a common density representation in nonlinear, non-Gaussian Bayesian state estimation. Selecting an appropriate number of Gaussian components, however, is difficult as one has to trade of computational complexity…
A hybrid particle ensemble Kalman filter is developed for problems with medium non-Gaussianity, i.e. problems where the prior is very non-Gaussian but the posterior is approximately Gaussian. Such situations arise, e.g., when nonlinear…
In a variety of problems, the number and state of multiple moving targets are unknown and are subject to be inferred from their measurements obtained by a sensor with limited sensing ability. This type of problems is raised in a variety of…
In this letter, a new filtering technique to solve a nonlinear state estimation problem has been developed. It is well known that for a nonlinear system, the prior and posterior probability density functions (pdf) are non-Gaussian in…
Estimation of a dynamical system's latent state subject to sensor noise and model inaccuracies remains a critical yet difficult problem in robotics. While Kalman filters provide the optimal solution in the least squared sense for linear and…
Gaussian mixture filters for nonlinear systems usually rely on severe approximations when calculating mixtures in the prediction and filtering step. Thus, offline approximations of noise densities by Gaussian mixture densities to reduce the…
Kalman filtering has been traditionally applied in three application areas of estimation, state estimation, parameter estimation (a.k.a. model updating), and dual estimation. However, Kalman filter is often not sufficient when experimenting…
Multi-modal densities appear frequently in time series and practical applications. However, they cannot be represented by common state estimators, such as the Extended Kalman Filter (EKF) and the Unscented Kalman Filter (UKF), which…
The filtering distribution captures the statistics of the state of a dynamical system from partial and noisy observations. Classical particle filters provably approximate this distribution in quite general settings; however they behave…
Stochastic filtering is defined as the estimation of a partially observed dynamical system. A massive scientific and computational effort is dedicated to the development of numerical methods for approximating the solution of the filtering…
The particle filter is a popular Bayesian filtering algorithm for use in cases where the state-space model is nonlinear and/or the random terms (initial state or noises) are non-Gaussian distributed. We study the behavior of the error in…
Particle flow Gaussian particle flow (PFGPF) uses an invertible particle flow to generate a proposal density. It approximates the predictive and posterior distributions as Gaussian densities. In this paper, we use bank of PFGPF filters to…
We propose a new sampling-based approach for approximate inference in filtering problems. Instead of approximating conditional distributions with a finite set of states, as done in particle filters, our approach approximates the…
A Bayesian filtering algorithm is developed for a class of state-space systems that can be modelled via Gaussian mixtures. In general, the exact solution to this filtering problem involves an exponential growth in the number of mixture…
The Kalman filter is an established tool for the analysis of dynamic systems with normally distributed noise, and it has been successfully applied in numerous application areas. It provides sequentially calculated estimates of the system…
Sequential state estimation in non-linear and non-Gaussian state spaces has a wide range of applications in statistics and signal processing. One of the most effective non-linear filtering approaches, particle filtering, suffers from weight…
Many systems for which compressive sensing is used today are dynamical. The common approach is to neglect the dynamics and see the problem as a sequence of independent problems. This approach has two disadvantages. Firstly, the temporal…
Estimating the state of a dynamical system from partial and noisy observations is a ubiquitous problem in a large number of applications, such as probabilistic weather forecasting and prediction of epidemics. Particle filters are a widely…
Nonlinear/non-Gaussian filtering has broad applications in many areas of life sciences where either the dynamic is nonlinear and/or the probability density function of uncertain state is non-Gaussian. In such problems, the accuracy of the…