6 research outputs found

    Joint Probabilistic Data Association-Feedback Particle Filter for Multiple Target Tracking Applications

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    This paper introduces a novel feedback-control based particle filter for the solution of the filtering problem with data association uncertainty. The particle filter is referred to as the joint probabilistic data association-feedback particle filter (JPDA-FPF). The JPDA-FPF is based on the feedback particle filter introduced in our earlier papers. The remarkable conclusion of our paper is that the JPDA-FPF algorithm retains the innovation error-based feedback structure of the feedback particle filter, even with data association uncertainty in the general nonlinear case. The theoretical results are illustrated with the aid of two numerical example problems drawn from multiple target tracking applications.Comment: In Proc. of the 2012 American Control Conferenc

    An auxiliary particle filtering algorithm with inequality constraints

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    For nonlinear non-Gaussian stochastic dynamic systems with inequality state constraints, this paper presents an efficient particle filtering algorithm, constrained auxiliary particle filtering algorithm. To deal with the state constraints, the proposed algorithm probabilistically selects particles such that those particles far away from the feasible area are less likely to propagate into the next time step. To improve on the sampling efficiency in the presence of inequality constraints, it uses a highly effective method to perform a series of constrained optimization so that the importance distributions are constructed efficiently based on the state constraints. The caused approximation errors are corrected using the importance sampling method. This ensures that the obtained particles constitute a representative sample of the true posterior distribution. A simulation study on vehicle tracking is used to illustrate the proposed approach

    Two-layer particle filter for multiple target detection and tracking

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    This paper deals with the detection and tracking of an unknown number of targets using a Bayesian hierarchical model with target labels. To approximate the posterior probability density function, we develop a two-layer particle filter. One deals with track initiation, and the other with track maintenance. In addition, the parallel partition method is proposed to sample the states of the surviving targets

    Data Assimilation Based on Sequential Monte Carlo Methods for Dynamic Data Driven Simulation

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    Simulation models are widely used for studying and predicting dynamic behaviors of complex systems. Inaccurate simulation results are often inevitable due to imperfect model and inaccurate inputs. With the advances of sensor technology, it is possible to collect large amount of real time observation data from real systems during simulations. This gives rise to a new paradigm of Dynamic Data Driven Simulation (DDDS) where a simulation system dynamically assimilates real time observation data into a running model to improve simulation results. Data assimilation for DDDS is a challenging task because sophisticated simulation models often have: 1) nonlinear non-Gaussian behavior 2) non-analytical expressions of involved probability density functions 3) high dimensional state space 4) high computation cost. Due to these properties, most existing data assimilation methods fail to effectively support data assimilation for DDDS in one way or another. This work develops algorithms and software to perform data assimilation for dynamic data driven simulation through non-parametric statistic inference based on sequential Monte Carlo (SMC) methods (also called particle filters). A bootstrap particle filter based data assimilation framework is firstly developed, where the proposal distribution is constructed from simulation models and statistical cores of noises. The bootstrap particle filter-based framework is relatively easy to implement. However, it is ineffective when the uncertainty of simulation models is much larger than the observation model (i.e. peaked likelihood) or when rare events happen. To improve the effectiveness of data assimilation, a new data assimilation framework, named as the SenSim framework, is then proposed, which has a more advanced proposal distribution that uses knowledge from both simulation models and sensor readings. Both the bootstrap particle filter-based framework and the SenSim framework are applied and evaluated in two case studies: wildfire spread simulation, and lane-based traffic simulation. Experimental results demonstrate the effectiveness of the proposed data assimilation methods. A software package is also created to encapsulate the different components of SMC methods for supporting data assimilation of general simulation models
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