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Saturated Particle Filter: Almost sure convergence and improved resampling

Paweł Mirosław Stano, Zsófia Lendek, Robert Babuška
2013 Automatica  
In this paper we investigate the asymptotic properties of the filter, in particular its almost sure convergence to the true posterior PDF.  ...  We prove that this new filter also converges almost surely to the true posterior PDF. Both versions of the SPF are presented in easy to implement algorithmic forms.  ...  Next, we propose an improved version of the SPF with a novel resampling procedure and we prove that it also converges almost surely to the true posterior PDF.  ... 
doi:10.1016/j.automatica.2012.10.006 fatcat:4vi4iar3a5egbodkz6yf45c6o4

On particle filters applied to electricity load forecasting [article]

Tristan Launay, Sophie Lamarche
2013 arXiv   pre-print
We offer a review of sequential Monte Carlo methods, and provide the calculations needed for the derivation of so-called particles filters.  ...  We propose an additional step to help make basic particle filters more robust with regard to outlying observations.  ...  An important fraction of the calculations involved in the algorithm is thus dedicated to particles whose contributions to the estimation are almost null, making the SIS particle filter an impractical estimation  ... 
arXiv:1210.0770v2 fatcat:yn67jqrovrbkblw7r3sjgao64u

Particle filtering with applications in networked systems: a survey

Wenshuo Li, Zidong Wang, Yuan Yuan, Lei Guo
2016 Complex & Intelligent Systems  
and implementation of particle filtering algorithms.  ...  In this survey paper, we aim to review the particle filtering method and its applications in networked systems.  ...  Yuan and L. Guo  ... 
doi:10.1007/s40747-016-0028-2 fatcat:fj6xjuaenfa3riys43mgvdgiye

Robust Spacecraft Angular Rate Estimation from Vector Observations Using Interlaced Particle Filtering

Avishy Carmi, Yaakov Oshman
2007 Journal of Guidance Control and Dynamics  
in the sequel) the symbol — stands for almost sure convergence in N.  ...  They tend to saturate during high angular rate scenarios such as tumbling and initial attitude acquisition.  ... 
doi:10.2514/1.28932 fatcat:yxxtlnhayvgfvamxit77umw4yu

Parameter Estimation, Model Reduction and Quantum Filtering [article]

Bradley A. Chase
2009 arXiv   pre-print
Chapter 4 studies the problem of quantum parameter estimation and introduces the quantum particle filter as a practical computational method for parameter estimation via continuous measurement.  ...  Chapters 2 and 3 provide a review of classical and quantum probability theory, stochastic calculus and filtering.  ...  i ∈πn (W t i+1 − W t i ) 2 → 1 (2.41) Thus rather than having the stochastic integral converge almost surely (a.s.), we can instead consider convergence in L 2 .  ... 
arXiv:0908.1200v1 fatcat:72mxz72q6feopjnreekaphiype

An Augmented Multiple Imputation Particle Filter for River State Estimation With Missing Observation

Z. H. Ismail, N. A. Jalaludin
2022 Frontiers in Robotics and AI  
The convergence analysis of the MIPF–SVF is discussed and shows that the method depends on the number of particles and imputations.  ...  By bounding the error, the ability of the method can be improved and the number of particles and computational time are reduced.  ...  The convergence analysis is presented in Convergence Analysis that includes almost sure convergence and convergence of the mean square error.  ... 
doi:10.3389/frobt.2021.788125 pmid:35252359 pmcid:PMC8894705 fatcat:73jwqrzpy5dyjdbdjyscw4me3u

Design of large polyphase filters in the Quadratic Residue Number System

Gian Carlo Cardarilli, Alberto Nannarelli, Yann Oster, Massimo Petricca, Marco Re
2010 2010 Conference Record of the Forty Fourth Asilomar Conference on Signals, Systems and Computers  
We show that if N<M, then a total of MNK/(M+KN-N) DoF are achievable, almost surely.  ...  /electro-mechanic hardware components leads almost inevitably to nonnegligible saturation effects.  ... 
doi:10.1109/acssc.2010.5757589 fatcat:ccxnu5owr5fyrcjcqukumerueq

Estimating soil moisture and soil thermal and hydraulic properties by assimilating soil temperatures using a particle batch smoother

Jianzhi Dong, Susan C. Steele-Dunne, Tyson E. Ochsner, Nick van de Giesen
2016 Advances in Water Resources  
This study investigates the potential of estimating the soil moisture profile and the soil thermal and hydraulic properties by assimilating soil temperature at shallow depths using a particle batch smoother  ...  Further improvement is observed when soil thermal properties were also estimated together with the soil hydraulic properties and soil states.  ...  Though biases might 176 be introduced, the final estimates will almost surely converge to the true posterior 177 [30, 31].  ... 
doi:10.1016/j.advwatres.2016.03.008 fatcat:nkwnvsw6zzbz5n4txvkmcommxy

Simulation-based optimal sensor scheduling with application to observer trajectory planning

Sumeetpal S. Singh, Nikolaos Kantas, Ba-Ngu Vo, Arnaud Doucet, Robin J. Evans
2007 Automatica  
The sensor scheduling problem can be formulated as a controlled hidden Markov model and this paper solves the problem when the state, observation and action spaces are continuous.  ...  For SA in general, decreasing step-sizes are essential for almost sure convergence.  ...  This approach can be analysed and we show that, under suitable assumptions, SA converges to a local minima ofĴ almost surely.  ... 
doi:10.1016/j.automatica.2006.11.019 fatcat:2sgqb6hh75cfrngucxy2v7uo2u

Tracking humans interacting with the environment using efficient hierarchical sampling and layered observation models

Jan Bandouch, Michael Beetz
2009 2009 IEEE 12th International Conference on Computer Vision Workshops, ICCV Workshops  
We describe and discuss two key components that substantially contribute to the accuracy and reliability of the system.  ...  objects from the region of interest and (2) modeling objects (e.g. tables) that both occlude and can be occluded by human subjects.  ...  Parallel partitions are resampled into a new partition by concatenating the previously split particle sets and updating the weights for the concatenated set before proceeding with the next resampling step  ... 
doi:10.1109/iccvw.2009.5457532 dblp:conf/iccvw/BandouchB09 fatcat:fdojd33nqfdfzpppjfkvyj5ee4

Tracking via Robust Multi-task Multi-view Joint Sparse Representation

Zhibin Hong, Xue Mei, Danil Prokhorov, Dacheng Tao
2013 2013 IEEE International Conference on Computer Vision  
The proposed method is integrated in a particle filter framework where every view in each particle is regarded as an individual task.  ...  We jointly consider the underlying relationship between tasks across different views and different particles, and tackle it in a unified robust multi-task formulation.  ...  Acknowledgement The first and the last co-authors of this paper were supported by the Australian Research Council under Discovery Project ARC DP-120103730.  ... 
doi:10.1109/iccv.2013.86 dblp:conf/iccv/HongMPT13 fatcat:snm4e2bahvbghdjhnnauwsgt5i

Non-Gaussian error bars in galaxy surveys – II

Joachim Harnois-Déraps, Ue-Li Pen
2013 Monthly notices of the Royal Astronomical Society  
With the noise filtering techniques and only four fields, we are able to recover the Fisher information obtained from a large N=200 sample to within 20 per cent, for k < 1.0 h/Mpc.  ...  We utilize known symmetries of the 4-point function, Wiener filtering and principal component analysis to estimate the full covariance matrix from only four independent fields with minimal prior assumptions  ...  The simulations and computations were performed on the Sunnyvale cluster at CITA.  ... 
doi:10.1093/mnras/stt413 fatcat:k5b5qpe7hfcvpfjthrxkywhjca

Estimating surface turbulent heat fluxes from land surface temperature and soil moisture observations using the particle batch smoother

Yang Lu, Jianzhi Dong, Susan C. Steele-Dunne, Nick van de Giesen
2016 Water Resources Research  
Although biases are introduced in this process, the final estimates are almost surely to converge to the true posterior.  ...  Off-line convergence tests showed that there was only marginal improvement in the RMSE of flux estimates when over 100 particles were used in both experiments.  ...  Acknowledgments The first and second author were financially supported for their Ph.D. researches by the China Scholarship Council (CSC) with the project reference number 201306040112 and 201206040043,  ... 
doi:10.1002/2016wr018943 fatcat:tdolyiq2grcofog34hchrymk6e

Ensemble Kalman Methods With Constraints [article]

David J. Albers, Paul-Adrien Blancquart, Matthew E. Levine, Elnaz Esmaeilzadeh Seylabi, Andrew Stuart
2019 arXiv   pre-print
Ensemble Kalman methods constitute an increasingly important tool in both state and parameter estimation problems.  ...  This paper establishes a general framework for doing so, describing a widely applicable methodology, a theory which justifies the methodology, and a set of numerical experiments exemplifying it.  ...  AMS was also funded by AFOSR Grant FA9550-17-1-0185 and by ONR grant N00014-17-1-2079.  ... 
arXiv:1901.05668v2 fatcat:da5rx24yanc6rpnf743zc7x5ga

Bayesian semiparametric Wiener system identification

Fredrik Lindsten, Thomas B. Schön, Michael I. Jordan
2013 Automatica  
We derive an inference algorithm based on an efficient particle Markov chain Monte Carlo method, referred to as particle Gibbs with ancestor sampling.  ...  Stochastic disturbances, entering both as measurement noise and as process noise, are handled in a systematic manner.  ...  Acknowledgements We thank the anonymous reviewers and the associate editor for their constructive comments which helped to significantly improve the quality of the manuscript.  ... 
doi:10.1016/j.automatica.2013.03.021 fatcat:6th6om67m5a67kwf3wuorl76l4
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