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Marginalized Particle Filters for Bayesian Estimation of Gaussian Noise Parameters
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. (Sensor Fusion)
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. (Sensor Fusion)
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Academy of Sciences of the Czech Republic.
2010 (English)In: Proceedings of the 13th Conference on Information Fusion, 2010, , 8 p.Conference paper, Published paper (Refereed)
Abstract [en]

The particle filter provides a general solution to the nonlinear filtering problem with arbitrarily accuracy. However, the curse of dimensionality prevents its application in cases where the state dimensionality is high. Further, estimation of stationary parameters is a known challenge in a particle filter framework. We suggest a marginalization approach for the case of unknown noise distribution parameters that avoid both aforementioned problem. First, the standard approach of augmenting the state vector with sensor offsets and scale factors is avoided, so the state dimension is not increased. Second, the mean and covariance of both process and measurement noises are represented with parametric distributions, whose statistics are updated adaptively and analytically using the concept of conjugate prior distributions. The resulting marginalized particle filter is applied to and illustrated with a standard example from literature.

Place, publisher, year, edition, pages
2010. , 8 p.
Keyword [en]
Unknown noise statistics, Adaptive Filtering, Marginalized particle filter, Bayesian conjugate prior
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-76080ISBN: 978-0-9824438-1-1 (print)OAI: oai:DiVA.org:liu-76080DiVA: diva2:512129
Conference
13th Conference on Information Fusion, Edinburgh, United Kingdom, 26-29 July, 2010
Projects
CADICS
Available from: 2012-03-26 Created: 2012-03-26 Last updated: 2013-07-09

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Saha, SaikatÖzkan, EmreGustafsson, Fredrik

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  • nn-NB
  • sv-SE
  • Other locale
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Output format
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