Sequential Monte Carlo Methods for State and Parameter Estimation in Abruptly Changing Environments

DOI10.1109/TSP.2013.2296278MaRDI QIDQ4579044zbMATH OpenFDO

Authors Christopher Nemeth, Paul Fearnhead, Lyudmila Mihaylova

Publication date 22 August 2018

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

Full work available at URL https://arxiv.org/abs/1510.02604

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

Abstract: This paper develops a novel sequential Monte Carlo (SMC) approach for joint state and parameter estimation that can deal efficiently with abruptly changing parameters which is a common case when tracking maneuvering targets. The approach combines Bayesian methods for dealing with changepoints with methods for estimating static parameters within the SMC framework. The result is an approach which adaptively estimates the model parameters in accordance with changes to the target's trajectory. The developed approach is compared against the Interacting Multiple Model (IMM) filter for tracking a maneuvering target over a complex maneuvering scenario with nonlinear observations. In the IMM filter a large combination of models is required to account for unknown parameters. In contrast, the proposed approach circumvents the combinatorial complexity of applying multiple models in the IMM filter through Bayesian parameter estimation techniques. The developed approach is validated over complex maneuvering scenarios where both the system parameters and measurement noise parameters are unknown. Accurate estimation results are presented.

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