Related papers: Particle Probability Hypothesis Density Filter bas…
In this paper, we propose two methods for tracking multiple extended targets or unresolved group targets with elliptical extent shape. These two methods are deduced from the famous Probability Hypothesis Density (PHD) filter and the…
Pairwise Markov Models (PMMs) extend the wellknown Hidden Markov Models (HMMs). Being significantly more general, PMMs enable several types of processing, like Bayesian filtering or smoothing, similar to those used in HMMs. In this paper,…
Bayesian methods are appealing in their flexibility in modeling complex data and ability in capturing uncertainty in parameters. However, when Bayes' rule does not result in tractable closed-form, most approximate inference algorithms lack…
When a hidden Markov model permits the conditional likelihood of an observation given the hidden process to be zero, all particle simulations from one observation time to the next could produce zeros. If so, the filtering distribution…
This paper presents the probability hypothesis density filter (PHD) and the cardinality PHD (CPHD) filter for sets of trajectories, which are referred to as the trajectory PHD (TPHD) and trajectory CPHD (TCPHD) filters. Contrary to the…
1. Hidden Markov models (HMMs) are powerful tools for modelling time-series data with underlying state structure. However, selecting appropriate parametric forms for the state-dependent distributions is often challenging and can lead to…
The Probability Hypothesis Density (PHD) filter, which is used for multi-target tracking based on sensor measurements, relies on the propagation of the first-order moment, or intensity function, of a point process. This algorithm assumes…
The particle filter (PF), also known as sequential Monte Carlo (SMC), approximates high-dimensional probability distributions and their normalizing constants in the discrete-time setting. To reduce the variance of the Monte Carlo…
In multi-target tracking, a data association hypothesis assigns measurements to tracks, and the hypothesis likelihood (of the joint target-measurement associations) is used to compare among all hypotheses for truncation under a finite…
We investigate the impact of filter choice on forecast accuracy in state space models. The filters are used both to estimate the posterior distribution of the parameters, via a particle marginal Metropolis-Hastings (PMMH) algorithm, and to…
In the following article we develop a particle filter for approximating Feynman-Kac models with indicator potentials. Examples of such models include approximate Bayesian computation (ABC) posteriors associated with hidden Markov models…
We combine conditional state density construction with an extension of the Scenario Approach for stochastic Model Predictive Control to nonlinear systems to yield a novel particle-based formulation of stochastic nonlinear output-feedback…
Recursive estimation of nonlinear dynamical systems is an important problem that arises in several engineering applications. Consistent and accurate propagation of uncertainties is important to ensuring good estimation performance. It is…
This paper presents a Poisson multi-Bernoulli mixture (PMBM) filter for multi-target filtering based on sensor measurements that are sets of trajectories in the last two-time step window. The proposed filter, the trajectory measurement PMBM…
We propose a novel online multi-object visual tracker using a Gaussian mixture Probability Hypothesis Density (GM-PHD) filter and deep appearance learning. The GM-PHD filter has a linear complexity with the number of objects and…
Particle filters flexibly represent multiple posterior modes nonparametrically, via a collection of weighted samples, but have classically been applied to tracking problems with known dynamics and observation likelihoods. Such generative…
The Poisson multi-Bernoulli mixture (PMBM) filter is conjugate prior composed of the union of a Poisson point process (PPP) and a multi-Bernoulli mixture (MBM). In this paper, a new PMBM filter for tracking multiple targets with randomly…
We present a novel approach for improving particle filters for multi-target tracking. The suggested approach is based on drift homotopy for stochastic differential equations. Drift homotopy is used to design a Markov Chain Monte Carlo step…
The objective of this article is to study the asymptotic behavior of a new particle filtering approach in the context of hidden Markov models (HMMs). In particular, we develop an algorithm where the latent-state sequence is segmented into…
The Gaussian Mixture Probability Hypothesis Density (GM-PHD) filter is an almost exact closed-form approximation to the Bayes-optimal multi-target tracking algorithm. Due to its optimality guarantees and ease of implementation, it has been…