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Importance Sampling Applied to Pincus Maximization for Particle Filter MAP Estimation 
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.
2012 (English)In: 15th International Conference on Information Fusion (FUSION), 2012, Proceeding, International Society of Information Fusion (ISIF) , 2012, , 7 p.114-120 p.Conference paper, Published paper (Refereed)
Abstract [en]

Sequential Monte Carlo (SMC), or Particle Filters(PF), approximate the posterior distribution in nonlinear filteringarbitrarily well, but the problem how to compute a state estimateis not always straightforward. For multimodal posteriors, themaximum a posteriori (MAP) estimate is a logical choice, butit is not readily available from the SMC output. In principle,the MAP can be obtained by maximizing the posterior density obtained e.g. by the particle based approximation of theChapman-Kolmogorov equation. However, this posterior is amixture distribution with many local maxima, which makes theoptimization problem very hard. We suggest an algorithm forestimating the MAP using the global optimization principle ofPincus and subsequently outline the frameworks for estimatingthe filter and marginal smoother MAP of a dynamical systemfrom the SMC output.

Place, publisher, year, edition, pages
International Society of Information Fusion (ISIF) , 2012. , 7 p.114-120 p.
Keyword [en]
particle filter, particle smoother, maximum a posteriori, global optimization
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-79585ISBN: 978-0-9824438-4-2 (print)ISBN: 978-1-4673-0044-5 (print)OAI: oai:DiVA.org:liu-79585DiVA: diva2:543905
Conference
15th International Conference on Information Fusion (FUSION), 2012, July 9-12, Singapore
Funder
eLLIIT - The Linköping‐Lund Initiative on IT and Mobile CommunicationsSwedish Research Council
Available from: 2012-10-15 Created: 2012-08-10 Last updated: 2014-11-12Bibliographically approved

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Saha, SaikatGustafsson, Fredrik

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf