Particle Filtering for Large-Dimensional State Spaces With Multimodal Observation Likelihoods

DOI10.1109/TSP.2008.925969zbMATH Open1390.94452arXiv0805.0053MaRDI QIDQ4569090FDOQ4569090

Authors: Namrata Vaswani 

Publication date: 27 June 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: We study efficient importance sampling techniques for particle filtering (PF) when either (a) the observation likelihood (OL) is frequently multimodal or heavy-tailed, or (b) the state space dimension is large or both. When the OL is multimodal, but the state transition pdf (STP) is narrow enough, the optimal importance density is usually unimodal. Under this assumption, many techniques have been proposed. But when the STP is broad, this assumption does not hold. We study how existing techniques can be generalized to situations where the optimal importance density is multimodal, but is unimodal conditioned on a part of the state vector. Sufficient conditions to test for the unimodality of this conditional posterior are derived. The number of particles, N, to accurately track using a PF increases with state space dimension, thus making any regular PF impractical for large dimensional tracking problems. We propose a solution that partially addresses this problem. An important class of large dimensional problems with multimodal OL is tracking spatially varying physical quantities such as temperature or pressure in a large area using a network of sensors which may be nonlinear and/or may have non-negligible failure probabilities.

Full work available at URL: https://arxiv.org/abs/0805.0053

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (13)

• Inference for reaction networks using the linear noise approximation
• State estimation using the particle filter with mode tracking
• Improved minimum entropy filtering for continuous nonlinear non-Gaussian systems using a generalized density evolution equation
• Estimation of dynamic systems using a method of characteristics filter
• Particle Filters for Multiscale Diffusions
• Real-time oriented behavior-driven 3D freehand tracking for direct interaction
• Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems
• A particle-learning-based approach to estimate the influence matrix of online social networks
• Numerical fitting-based likelihood calculation to speed up the particle filter
• Variance reduction techniques in particle-based visual contour tracking
• Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
• Two-stage particle filtering for non-Gaussian state estimation with fading measurements
• Evolutionary sampling: a novel way of machine learning within a probabilistic framework

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