Interacting and annealing particle systems - Mathematics and recipes

Interacting and annealing are two powerful strategies that are applied in different areas of stochastic modelling and data analysis. Interacting particle systems approximate a distribution of interest by a finite number of particles where the particles interact between the time steps. In computer vision, they are commonly known as particle filters. Simulated annealing, on the other hand, is a global optimization method derived from statistical mechanics. A recent heuristic approach to fuse these two techniques for motion capturing has become known as annealed particle filter. In order to analyze these techniques, we rigorously derive in this paper two algorithms with annealing properties based on the mathematical theory of interacting particle systems. Convergence results and sufficient parameter restrictions enable us to point out limitations of the annealed particle filter. Moreover, we evaluate the impact of the parameters on the performance in various experiments, including the tracking of articulated bodies from noisy measurements. Our results provide a general guidance on suitable parameter choices for different applications