The spline probability hypothesis density filter

Abstract

The Probability Hypothesis Density Filter (PHD) is a multitarget tracker for recursively estimating the number of targets and their state vectors from a set of observations. The PHD filter is capable of working well in scenarios with false alarms and missed detections. Two distinct PHD filter implementations are available in the literature: the Sequential Monte Carlo Probability Hypothesis Density (SMC-PHD) and the Gaussian Mixture Probability Hypothesis Density (GM-PHD) filters. The SMC-PHD filter uses particles to provide target state estimates, which can lead to a high computational load, whereas the GM-PHD filter does not use particles, but restricts to linear Gaussian mixture models. The SMC-PHD filter technique provides only weighted samples at discrete points in the state space instead of a continuous estimate of the probability density function of the system state and thus suffers from the well-known degeneracy problem. This paper proposes a B-Spline based Probability Hypothesis Density (S-PHD) filter, which has the capability to model any arbitrary probability density function. The resulting algorithm can handle linear, non-linear, Gaussian, and non-Gaussian models and the S-PHD filter can also provide continuous estimates of the probability density function of the system state. In addition, by moving the knots dynamically, the S-PHD filter ensures that the splines cover only the region where the probability of the system state is significant, hence the high efficiency of the S-PHD filter is maintained at all times. Also, unlike the SMC-PHD filter, the S-PHD filter is immune to the degeneracy problem due to its continuous nature. The S-PHD filter derivations and simulations are provided in this paper.