Nested Sequential Monte Carlo Methods

We propose nested sequential Monte Carlo (NSMC), a methodology to sample from sequences of probability distributions, even where the random variables are high-dimensional. NSMC generalises the SMC framework by requiring only approximate, properly weighted, samples from the SMC proposal distribution, while still resulting in a correct SMC algorithm. Furthermore, NSMC can in itself be used to produce such properly weighted samples. Consequently, one NSMC sampler can be used to construct an efficient high-dimensional proposal distribution for another NSMC sampler, and this nesting of the algorithm can be done to an arbitrary degree. This allows us to consider complex and high-dimensional models using SMC. We show results that motivate the efficacy of our approach on several filtering problems with dimensions in the order of 100 to 1 000.Comment: Extended version of paper published in Proceedings of the 32nd International Conference on Machine Learning (ICML), Lille, France, 201

The chopthin algorithm for resampling

Resampling is a standard step in particle filters and more generally sequential Monte Carlo methods. We present an algorithm, called chopthin, for resampling weighted particles. In contrast to standard resampling methods the algorithm does not produce a set of equally weighted particles; instead it merely enforces an upper bound on the ratio between the weights. Simulation studies show that the chopthin algorithm consistently outperforms standard resampling methods. The algorithms chops up particles with large weight and thins out particles with low weight, hence its name. It implicitly guarantees a lower bound on the effective sample size. The algorithm can be implemented efficiently, making it practically useful. We show that the expected computational effort is linear in the number of particles. Implementations for C++, R (on CRAN), Python and Matlab are available.Comment: 14 pages, 4 figure

Evaluating indoor positioning systems in a shopping mall : the lessons learned from the IPIN 2018 competition

The Indoor Positioning and Indoor Navigation (IPIN) conference holds an annual competition in which indoor localization systems from different research groups worldwide are evaluated empirically. The objective of this competition is to establish a systematic evaluation methodology with rigorous metrics both for real-time (on-site) and post-processing (off-site) situations, in a realistic environment unfamiliar to the prototype developers. For the IPIN 2018 conference, this competition was held on September 22nd, 2018, in Atlantis, a large shopping mall in Nantes (France). Four competition tracks (two on-site and two off-site) were designed. They consisted of several 1 km routes traversing several floors of the mall. Along these paths, 180 points were topographically surveyed with a 10 cm accuracy, to serve as ground truth landmarks, combining theodolite measurements, differential global navigation satellite system (GNSS) and 3D scanner systems. 34 teams effectively competed. The accuracy score corresponds to the third quartile (75th percentile) of an error metric that combines the horizontal positioning error and the floor detection. The best results for the on-site tracks showed an accuracy score of 11.70 m (Track 1) and 5.50 m (Track 2), while the best results for the off-site tracks showed an accuracy score of 0.90 m (Track 3) and 1.30 m (Track 4). These results showed that it is possible to obtain high accuracy indoor positioning solutions in large, realistic environments using wearable light-weight sensors without deploying any beacon. This paper describes the organization work of the tracks, analyzes the methodology used to quantify the results, reviews the lessons learned from the competition and discusses its future

Massively parallel implicit equal-weights particle filter for ocean drift trajectory forecasting

Forecasting of ocean drift trajectories are important for many applications, including search and rescue operations, oil spill cleanup and iceberg risk mitigation. In an operational setting, forecasts of drift trajectories are produced based on computationally demanding forecasts of three-dimensional ocean currents. Herein, we investigate a complementary approach for shorter time scales by using the recently proposed two-stage implicit equal-weights particle filter applied to a simplified ocean model. To achieve this, we present a new algorithmic design for a data-assimilation system in which all components – including the model, model errors, and particle filter – take advantage of massively parallel compute architectures, such as graphical processing units. Faster computations can enable in-situ and ad-hoc model runs for emergency management, and larger ensembles for better uncertainty quantification. Using a challenging test case with near-realistic chaotic instabilities, we run data-assimilation experiments based on synthetic observations from drifting and moored buoys, and analyze the trajectory forecasts for the drifters. Our results show that even sparse drifter observations are sufficient to significantly improve short-term drift forecasts up to twelve hours. With equidistant moored buoys observing only 0.1% of the state space, the ensemble gives an accurate description of the true state after data assimilation followed by a high-quality probabilistic forecast

A novel object tracking algorithm based on compressed sensing and entropy of information

Acknowledgments This research is supported by (1) the Ph.D. Programs Foundation of Ministry of Education of China under Grant no. 20120061110045, (2) the Science and Technology Development Projects of Jilin Province of China under Grant no. 20150204007G X, and (3) the Key Laboratory for Symbol Computation and Knowledge Engineering of the National Education Ministry of China.Peer reviewedPublisher PD