The Coordinate Particle Filter - A novel Particle Filter for High Dimensional Systems

Parametric filters, such as the Extended Kalman Filter and the Unscented Kalman Filter, typically scale well with the dimensionality of the problem, but they are known to fail if the posterior state distribution cannot be closely approximated by a density of the assumed parametric form. For nonparametric filters, such as the Particle Filter, the converse holds. Such methods are able to approximate any posterior, but the computational requirements scale exponentially with the number of dimensions of the state space. In this paper, we present the Coordinate Particle Filter which alleviates this problem. We propose to compute the particle weights recursively, dimension by dimension. This allows us to explore one dimension at a time, and resample after each dimension if necessary. Experimental results on simulated as well as real data confirm that the proposed method has a substantial performance advantage over the Particle Filter in high-dimensional systems where not all dimensions are highly correlated. We demonstrate the benefits of the proposed method for the problem of multi-object and robotic manipulator tracking

Vehicle detection and tracking using homography-based plane rectification and particle filtering

This paper presents a full system for vehicle detection and tracking in non-stationary settings based on computer vision. The method proposed for vehicle detection exploits the geometrical relations between the elements in the scene so that moving objects (i.e., vehicles) can be detected by analyzing motion parallax. Namely, the homography of the road plane between successive images is computed. Most remarkably, a novel probabilistic framework based on Kalman filtering is presented for reliable and accurate homography estimation. The estimated homography is used for image alignment, which in turn allows to detect the moving vehicles in the image. Tracking of vehicles is performed on the basis of a multidimensional particle filter, which also manages the exit and entries of objects. The filter involves a mixture likelihood model that allows a better adaptation of the particles to the observed measurements. The system is specially designed for highway environments, where it has been proven to yield excellent results

3D angle-of-arrival positioning using von Mises-Fisher distribution

We propose modeling an angle-of-arrival (AOA) positioning measurement as a von Mises-Fisher (VMF) distributed unit vector instead of the conventional normally distributed azimuth and elevation measurements. Describing the 2-dimensional AOA measurement with three numbers removes discontinuities and reduces nonlinearity at the poles of the azimuth-elevation coordinate system. Our computer simulations show that the proposed VMF measurement noise model based filters outperform the normal distribution based algorithms in accuracy in a scenario where close-to-pole measurements occur frequently.Comment: 5 page

Efficient non-linear data assimilation in geophysical fluid dynamics

New ways of combining observations with numerical models are discussed in which the size of the state space can be very large, and the model can be highly nonlinear. Also the observations of the system can be related to the model variables in highly nonlinear ways, making this data-assimilation (or inverse) problem highly nonlinear. First we discuss the connection between data assimilation and inverse problems, including regularization. We explore the choice of proposal density in a Particle Filter and show how the ’curse of dimensionality’ might be beaten. In the standard Particle Filter ensembles of model runs are propagated forward in time until observations are encountered, rendering it a pure Monte-Carlo method. In large-dimensional systems this is very inefficient and very large numbers of model runs are needed to solve the data-assimilation problem realistically. In our approach we steer all model runs towards the observations resulting in a much more efficient method. By further ’ensuring almost equal weight’ we avoid performing model runs that are useless in the end. Results are shown for the 40 and 1000 dimensional Lorenz 1995 model