Journal ArticleDOI
Monte Carlo Filter and Smoother for Non-Gaussian Nonlinear State Space Models
TLDR
A new algorithm based on a Monte Carlo method that can be applied to a broad class of nonlinear non-Gaussian higher dimensional state space models on the provision that the dimensions of the system noise and the observation noise are relatively low.Abstract:
A new algorithm for the prediction, filtering, and smoothing of non-Gaussian nonlinear state space models is shown. The algorithm is based on a Monte Carlo method in which successive prediction, filtering (and subsequently smoothing), conditional probability density functions are approximated by many of their realizations. The particular contribution of this algorithm is that it can be applied to a broad class of nonlinear non-Gaussian higher dimensional state space models on the provision that the dimensions of the system noise and the observation noise are relatively low. Several numerical examples are shown.read more
Citations
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Journal ArticleDOI
A tutorial on particle filters for online nonlinear/non-Gaussian Bayesian tracking
TL;DR: Both optimal and suboptimal Bayesian algorithms for nonlinear/non-Gaussian tracking problems, with a focus on particle filters are reviewed.
BookDOI
Sequential Monte Carlo methods in practice
TL;DR: This book presents the first comprehensive treatment of Monte Carlo techniques, including convergence results and applications to tracking, guidance, automated target recognition, aircraft navigation, robot navigation, econometrics, financial modeling, neural networks, optimal control, optimal filtering, communications, reinforcement learning, signal enhancement, model averaging and selection.
MonographDOI
Planning Algorithms: Introductory Material
TL;DR: This coherent and comprehensive book unifies material from several sources, including robotics, control theory, artificial intelligence, and algorithms, into planning under differential constraints that arise when automating the motions of virtually any mechanical system.
Journal ArticleDOI
C ONDENSATION —Conditional Density Propagation forVisual Tracking
Michael Isard,Andrew Blake +1 more
TL;DR: The Condensation algorithm uses “factored sampling”, previously applied to the interpretation of static images, in which the probability distribution of possible interpretations is represented by a randomly generated set.
Posted Content
Forecasting, Structural Time Series Models and the Kalman Filter
TL;DR: In this paper, the authors provide a unified and comprehensive theory of structural time series models, including a detailed treatment of the Kalman filter for modeling economic and social time series, and address the special problems which the treatment of such series poses.
References
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Proceedings Article
Information Theory and an Extention of the Maximum Likelihood Principle
TL;DR: The classical maximum likelihood principle can be considered to be a method of asymptotic realization of an optimum estimate with respect to a very general information theoretic criterion to provide answers to many practical problems of statistical model fitting.
Book ChapterDOI
Information Theory and an Extension of the Maximum Likelihood Principle
TL;DR: In this paper, it is shown that the classical maximum likelihood principle can be considered to be a method of asymptotic realization of an optimum estimate with respect to a very general information theoretic criterion.
Book
Numerical Recipes in FORTRAN
TL;DR: The Diskette v 2.04, 3.5'' (720k) for IBM PC, PS/2 and compatibles [DOS] Reference Record created on 2004-09-07, modified on 2016-08-08.
Book
Forecasting, Structural Time Series Models and the Kalman Filter
TL;DR: In this article, the Kalman filter and state space models were used for univariate structural time series models to estimate, predict, and smoothen the univariate time series model.