Adapting the Number of Particles in Sequential Monte Carlo Methods through an Online Scheme for Convergence Assessment

Particle filters are broadly used to approximate posterior distributions of hidden states in state-space models by means of sets of weighted particles. While the convergence of the filter is guaranteed when the number of particles tends to infinity, the quality of the approximation is usually unknown but strongly dependent on the number of particles. In this paper, we propose a novel method for assessing the convergence of particle filters online manner, as well as a simple scheme for the online adaptation of the number of particles based on the convergence assessment. The method is based on a sequential comparison between the actual observations and their predictive probability distributions approximated by the filter. We provide a rigorous theoretical analysis of the proposed methodology and, as an example of its practical use, we present simulations of a simple algorithm for the dynamic and online adaption of the number of particles during the operation of a particle filter on a stochastic version of the Lorenz system

A Hilbert Space Theory of Generalized Graph Signal Processing

Graph signal processing (GSP) has become an important tool in many areas such as image processing, networking learning and analysis of social network data. In this paper, we propose a broader framework that not only encompasses traditional GSP as a special case, but also includes a hybrid framework of graph and classical signal processing over a continuous domain. Our framework relies extensively on concepts and tools from functional analysis to generalize traditional GSP to graph signals in a separable Hilbert space with infinite dimensions. We develop a concept analogous to Fourier transform for generalized GSP and the theory of filtering and sampling such signals

Reduced-Rank STAP Schemes for Airborne Radar Based on Switched Joint Interpolation, Decimation and Filtering Algorithm

In this paper, we propose a reduced-rank space-time adaptive processing (STAP) technique for airborne phased array radar applications. The proposed STAP method performs dimensionality reduction by using a reduced-rank switched joint interpolation, decimation and filtering algorithm (RR-SJIDF). In this scheme, a multiple-processing-branch (MPB) framework, which contains a set of jointly optimized interpolation, decimation and filtering units, is proposed to adaptively process the observations and suppress jammers and clutter. The output is switched to the branch with the best performance according to the minimum variance criterion. In order to design the decimation unit, we present an optimal decimation scheme and a low-complexity decimation scheme. We also develop two adaptive implementations for the proposed scheme, one based on a recursive least squares (RLS) algorithm and the other on a constrained conjugate gradient (CCG) algorithm. The proposed adaptive algorithms are tested with simulated radar data. The simulation results show that the proposed RR-SJIDF STAP schemes with both the RLS and the CCG algorithms converge at a very fast speed and provide a considerable SINR improvement over the state-of-the-art reduced-rank schemes