Marginalized Particle Filters for Bayesian Estimation of Gaussian Noise Parameters

0347241 - ÚTIA 2011 RIV GB eng C - Conference Paper (international conference)
Saha, S. - Okzan, E. - Gustafsson, F. - Šmídl, Václav
Marginalized Particle Filters for Bayesian Estimation of Gaussian Noise Parameters.
Proceedings of the 13th International Conference on Information Fusion. Edinburgh: IET, 2010, s. 1-8. ISBN 978-0-9824438-1-1.
[13th International Conference on Information Fusion. Edinburgh (GB), 26.07.2010-29.07.2010]
Institutional research plan: CEZ:AV0Z10750506
Keywords : marginalized particle filter * unknown noise statistics * bayesian conjugate prior
Subject RIV: BC - Control Systems Theory
http://library.utia.cas.cz/separaty/2010/AS/smidl-marginalized particle filters for bayesian estimation of gaussian noise parameters.pdf

The particle filter provides a general solution to the nonlinear filtering problem with arbitrarily accuracy. However, the curse of dimensionality prevents its application in cases where the state dimensionality is high. Further, estimation of stationary parameters is a known challenge in a particle filter framework. We suggest a marginalization approach for the case of unknown noise distribution parameters that avoid both aforementioned problem. First, the standard approach of augmenting the state vector with sensor offsets and scale factors is avoided, so the state dimension is not increased. Second, the mean and covariance of both process and measurement noises are represented with parametric distributions, whose statistics are updated adaptively and analytically using the concept of conjugate prior distributions. The resulting marginalized particle filter is applied to and illustrated with a standard example from literature.
Permanent Link: http://hdl.handle.net/11104/0188060