Direct versus prediction-based particle filter algorithms

François Desbouvries; Boujemaa Ait-El-Fquih

doi:10.1109/MLSP.2008.4685497

Direct versus prediction-based particle filter algorithms

François Desbouvries, Boujemaa Ait-El-Fquih

CNRS SAMOVAR UMR 5157

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

Particle Filtering (PF) algorithms propagate in time a Monte Carlo (MC) approximation of the a posteriori filtering measure in a Hidden Markov Chain (HMC) model. In this paper we first shed some new light on two classical PF algorithms, which can be considered as natural MC implementations of two two-step direct recursive formulas for computing the filtering distribution. We next address the Particle Prediction (PP) problem, which happens to be simpler than the PF problem because the optimal prediction conditional importance distribution (CID) is much easier to sample from. Motivated by this result we finally develop two PP-based PF algorithms, and we compare our algorithms via simulations.

Original language	English
Title of host publication	Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008
Pages	303-308
Number of pages	6
DOIs	https://doi.org/10.1109/MLSP.2008.4685497
Publication status	Published - 1 Dec 2008
Externally published	Yes
Event	2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008 - Cancun, Mexico Duration: 16 Oct 2008 → 19 Oct 2008

Publication series

Name	Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008

Conference

Conference	2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008
Country/Territory	Mexico
City	Cancun
Period	16/10/08 → 19/10/08

Keywords

Hidden Markov chains
Optimal importance function
Particle filtering
Sampling importance resampling
Sequential importance sampling

Access to Document

10.1109/MLSP.2008.4685497

Cite this

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title = "Direct versus prediction-based particle filter algorithms",

abstract = "Particle Filtering (PF) algorithms propagate in time a Monte Carlo (MC) approximation of the a posteriori filtering measure in a Hidden Markov Chain (HMC) model. In this paper we first shed some new light on two classical PF algorithms, which can be considered as natural MC implementations of two two-step direct recursive formulas for computing the filtering distribution. We next address the Particle Prediction (PP) problem, which happens to be simpler than the PF problem because the optimal prediction conditional importance distribution (CID) is much easier to sample from. Motivated by this result we finally develop two PP-based PF algorithms, and we compare our algorithms via simulations.",

keywords = "Hidden Markov chains, Optimal importance function, Particle filtering, Sampling importance resampling, Sequential importance sampling",

author = "Fran{\c c}ois Desbouvries and Boujemaa Ait-El-Fquih",

year = "2008",

month = dec,

day = "1",

doi = "10.1109/MLSP.2008.4685497",

language = "English",

isbn = "9781424423767",

series = "Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008",

pages = "303--308",

booktitle = "Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008",

note = "2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008 ; Conference date: 16-10-2008 Through 19-10-2008",

}

Desbouvries, F & Ait-El-Fquih, B 2008, Direct versus prediction-based particle filter algorithms. in Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008., 4685497, Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008, pp. 303-308, 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008, Cancun, Mexico, 16/10/08. https://doi.org/10.1109/MLSP.2008.4685497

Direct versus prediction-based particle filter algorithms. / Desbouvries, François; Ait-El-Fquih, Boujemaa.
Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008. 2008. p. 303-308 4685497 (Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Direct versus prediction-based particle filter algorithms

AU - Desbouvries, François

AU - Ait-El-Fquih, Boujemaa

PY - 2008/12/1

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N2 - Particle Filtering (PF) algorithms propagate in time a Monte Carlo (MC) approximation of the a posteriori filtering measure in a Hidden Markov Chain (HMC) model. In this paper we first shed some new light on two classical PF algorithms, which can be considered as natural MC implementations of two two-step direct recursive formulas for computing the filtering distribution. We next address the Particle Prediction (PP) problem, which happens to be simpler than the PF problem because the optimal prediction conditional importance distribution (CID) is much easier to sample from. Motivated by this result we finally develop two PP-based PF algorithms, and we compare our algorithms via simulations.

AB - Particle Filtering (PF) algorithms propagate in time a Monte Carlo (MC) approximation of the a posteriori filtering measure in a Hidden Markov Chain (HMC) model. In this paper we first shed some new light on two classical PF algorithms, which can be considered as natural MC implementations of two two-step direct recursive formulas for computing the filtering distribution. We next address the Particle Prediction (PP) problem, which happens to be simpler than the PF problem because the optimal prediction conditional importance distribution (CID) is much easier to sample from. Motivated by this result we finally develop two PP-based PF algorithms, and we compare our algorithms via simulations.

KW - Hidden Markov chains

KW - Optimal importance function

KW - Particle filtering

KW - Sampling importance resampling

KW - Sequential importance sampling

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DO - 10.1109/MLSP.2008.4685497

M3 - Conference contribution

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SN - 9781424423767

T3 - Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008

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BT - Proceedings of the 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008

T2 - 2008 IEEE Workshop on Machine Learning for Signal Processing, MLSP 2008

Y2 - 16 October 2008 through 19 October 2008

ER -

Direct versus prediction-based particle filter algorithms

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Keywords

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