Sequential Monte Carlo Methods for Nonlinear Discrete Time Filtering is popular PDF and ePub book, written by Marcelo G. in 2022-06-01, it is a fantastic choice for those who relish reading online the Technology & Engineering genre. Let's immerse ourselves in this engaging Technology & Engineering book by exploring the summary and details provided below. Remember, Sequential Monte Carlo Methods for Nonlinear Discrete Time Filtering can be Read Online from any device for your convenience.
Sequential Monte Carlo Methods for Nonlinear Discrete Time Filtering Book PDF Summary
In these notes, we introduce particle filtering as a recursive importance sampling method that approximates the minimum-mean-square-error (MMSE) estimate of a sequence of hidden state vectors in scenarios where the joint probability distribution of the states and the observations is non-Gaussian and, therefore, closed-form analytical expressions for the MMSE estimate are generally unavailable. We begin the notes with a review of Bayesian approaches to static (i.e., time-invariant) parameter estimation. In the sequel, we describe the solution to the problem of sequential state estimation in linear, Gaussian dynamic models, which corresponds to the well-known Kalman (or Kalman-Bucy) filter. Finally, we move to the general nonlinear, non-Gaussian stochastic filtering problem and present particle filtering as a sequential Monte Carlo approach to solve that problem in a statistically optimal way. We review several techniques to improve the performance of particle filters, including importance function optimization, particle resampling, Markov Chain Monte Carlo move steps, auxiliary particle filtering, and regularized particle filtering. We also discuss Rao-Blackwellized particle filtering as a technique that is particularly well-suited for many relevant applications such as fault detection and inertial navigation. Finally, we conclude the notes with a discussion on the emerging topic of distributed particle filtering using multiple processors located at remote nodes in a sensor network. Throughout the notes, we often assume a more general framework than in most introductory textbooks by allowing either the observation model or the hidden state dynamic model to include unknown parameters. In a fully Bayesian fashion, we treat those unknown parameters also as random variables. Using suitable dynamic conjugate priors, that approach can be applied then to perform joint state and parameter estimation. Table of Contents: Introduction / Bayesian Estimation of Static Vectors / The Stochastic Filtering Problem / Sequential Monte Carlo Methods / Sampling/Importance Resampling (SIR) Filter / Importance Function Selection / Markov Chain Monte Carlo Move Step / Rao-Blackwellized Particle Filters / Auxiliary Particle Filter / Regularized Particle Filters / Cooperative Filtering with Multiple Observers / Application Examples / Summary
Detail Book of Sequential Monte Carlo Methods for Nonlinear Discrete Time Filtering PDF
- Author : Marcelo G.
- Release : 01 June 2022
- Publisher : Springer Nature
- ISBN : 9783031025358
- Genre : Technology & Engineering
- Total Page : 87 pages
- Language : English
- PDF File Size : 14,6 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Sequential Monte Carlo Methods for Nonlinear Discrete Time Filtering by Marcelo G., don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.