Resampling Particle Filter Research Articles

A Strong Tracking Particle Filter with Application to Fault Prediction

Particle degeneracy and its poor ability to track saltatory states are two main problems when a particle filter is applied to fault prediction.The sequential importance re-sampling particle filter can abate the influence of particle degeneracy but will easily lead to another problem-sample impoverishment.The extended particle filter can resolve the problem of particle degeneracy to a certain extent but can not track the saltatory state.A strong tracking particle filter is put forward by introducing a strong tracking filter into a particle filter to resolve the above problems,in which the strong tracking filter is used to update particles and produce importance densities.As a result, the problems of particle degeneracy and sample impoverishment are ameliorated,and the tracking ability is improved. Simulation results demonstrate that the strong tracking particle filter is feasible and system fault can be predicted in time and correctly.

A Strong Tracking Particle Filter with Application to Fault Prediction

Particle degeneracy and its poor ability to track saltatory states are two main problems when a particle filter is applied to fault prediction.The sequential importance re-sampling particle filter can abate the influence of particle degeneracy but will easily lead to another problem-sample impoverishment.The extended particle filter can resolve the problem of particle degeneracy to a certain extent but can not track the saltatory state.A strong tracking particle filter is put forward by introducing a strong tracking filter into a particle filter to resolve the above problems,in which the strong tracking filter is used to update particles and produce importance densities.As a result, the problems of particle degeneracy and sample impoverishment are ameliorated,and the tracking ability is improved. Simulation results demonstrate that the strong tracking particle filter is feasible and system fault can be predicted in time and correctly.

Dynamic View Planning by Effective Particles for Three-Dimensional Tracking

In this paper, we propose a new approach to dynamically manage the viewpoint of a vision system for optimal 3-D tracking using particle techniques. We adopt the effective sample size in the proposed particle filter as a criterion for evaluating tracking performance and employ it to guide the view-planning process for finding the best viewpoint configuration. In our approach, the vision system is designed and configured to achieve the largest number of effective particles, which minimizes tracking error by revealing the system to a better swarm of importance samples and interpreting posterior states in a better way. Superiorities of our method are shown by comparison with the resampling particle filter and other view-planning methods.

A Rao–Blackwellized particle filter for magnetoencephalography

A Rao–Blackwellized particle filter for the tracking of neural sources from biomagnetic data is described. A comparison with a sampling importance resampling particle filter performed in the case of both simulated and real data shows that the use of Rao–Blackwellization is highly recommended since it produces more accurate reconstructions within a lower computational effort.

An evaluation of the nonlinear/non-Gaussian filters for the sequential data assimilation

This paper aims to investigate several new nonlinear/non-Gaussian filters in the context of the sequential data assimilation. The unscented Kalman filter (UKF), the ensemble Kalman filter (EnKF), the sampling importance resampling particle filter (SIR-PF) and the unscented particle filter (UPF) are described in the state-space model framework in the Bayesian filtering background. We first evaluated those methods with a simple highly nonlinear Lorenz model and a scalar nonlinear non-Gaussian model to investigate the filter stability and the error sensitivity, and then their abilities in the one-dimensional estimation of the soil moisture content with the synthetic microwave brightness temperature assimilation experiment in the land surface model VIC-3L. All the results are compared with the EnKF. The advantages and disadvantages of each filter are discussed. The results in the Lorenz model showed that the particle filters are suitable for the large measurement interval assimilation and that the Kalman filters were suitable for the frequent measurement assimilation as well as small measurement uncertainties. The EnKF also showed its feasibility for the non-Gaussian noise. The performance of the SIR-PF was actually not as good as that of the UKF or the EnKF regarding a very small observation noise level compared with the uncertainties in the system. In the one-dimensional brightness temperature assimilation experiment, the UKF, the EnKF and the SIR-PF all proved to be flexible and reliable nonlinear filter algorithms for the low dimensional sequential land data assimilation application. For the high dimensional land surface system that takes the horizontal error correlations into account, the UKF is restricted by its computational demand in the covariance propagation; we must use the EnKF, the SIR-PF and other covariance reduction algorithms. The large computational cost prevents the UPF from being applied in practice.

Assessing the Performance of the Ensemble Kalman Filter for Land Surface Data Assimilation

Abstract The ensemble Kalman filter provides an easy-to-use, flexible, and efficient option for data assimilation problems. One of its attractive features in land surface applications is its ability to provide distributional information about variables, such as soil moisture, that can be highly skewed or even bimodal. The ensemble Kalman filter relies on normality approximations that improve its efficiency but can also compromise the accuracy of its distributional estimates. The effects of these approximations can be evaluated by comparing the conditional marginal distributions and moments estimated by the ensemble Kalman filter with those obtained from a sequential importance resampling (SIR) particle filter, which gives exact solutions for large ensemble sizes. Comparisons for two land surface examples indicate that the ensemble Kalman filter is generally able to reproduce nonnormal soil moisture behavior, including the skewness that occurs when the soil is either very wet or very dry. Its conditional mean estimates are very close to those generated by the SIR filter. Its higher-order conditional moments are somewhat less accurate than the means. Overall, the ensemble Kalman filter appears to provide a good approximation for nonlinear, nonnormal land surface problems, despite its dependence on normality assumptions.

Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality

A welfare analysis of policies for risk averse preferences is handicapped within linear or linearized models and their certainty equivalence property. I calculate the optimal policy in a nonlinear stochastic dynamic general equilibrium model. Then I estimate the posterior density of structural parameters and the marginal likelihood within a nonlinear state space model. The computational challenges are considerable and I concentrate on the numerics and statistics for a simple model of dynamic consumption and labor choice. It is estimated on simulated data in order to test the routines with known true parameters. The code is written for a general model class. The policy function is approximated by Smolyak Chebyshev polynomials and the rational expectation integral by Smolyak Gaussian quadrature. The Smolyak operator is used to extend univariate approximation and integration operators to many dimensions. It is also called boolean method, hyperbolic cross points, discrete or sparse grids, fully symmetrical integration rules or complete polynomials. It reduces the curse of dimensionality from exponential to polynomial growth. The likelihood integrals are evaluated by a Gaussian quadrature and Gaussian quadrature particle filter. The bootstrap or sequential importance resampling particle filter, based on a Monte Carlo integration, is used as an accuracy benchmark. The posterior is estimated by the Gaussian filter and a Metropolis-Hastings algorithm. I propose a genetic extension of the standard Metropolis-Hastings algorithm by parallel random walk sequences. The candidate parameter vectors are constructed by innovation from the parallel sequences in addition to the usual random walk shocks. This improves the robustness of start values and the global maximization properties. Moreover it simplifies a cluster implementation and the random walk variances decision is reduced to only two parameters so that almost no trial sequences are needed. Finally the marginal likelihood is calculated as a criterion for nonnested and quasi-true models in order to select between the nonlinear estimates and a first order perturbation solution combined with the Kalman filter.

Resampling algorithms and architectures for distributed particle filters

In this paper, we propose novel resampling algorithms with architectures for efficient distributed implementation of particle filters. The proposed algorithms improve the scalability of the filter architectures affected by the resampling process. Problems in the particle filter implementation due to resampling are described, and appropriate modifications of the resampling algorithms are proposed so that distributed implementations are developed and studied. Distributed resampling algorithms with proportional allocation (RPA) and nonproportional allocation (RNA) of particles are considered. The components of the filter architectures are the processing elements (PEs), a central unit (CU), and an interconnection network. One of the main advantages of the new resampling algorithms is that communication through the interconnection network is reduced and made deterministic, which results in simpler network structure and increased sampling frequency. Particle filter performances are estimated for the bearings-only tracking applications. In the architectural part of the analysis, the area and speed of the particle filter implementation are estimated for a different number of particles and a different level of parallelism with field programmable gate array (FPGA) implementation. In this paper, only sampling importance resampling (SIR) particle filters are considered, but the analysis can be extended to any particle filters with resampling.

Particle filter for sensor fusion in a land vehicle navigation system

Generally, the extended Kalman filter (EKF) is used for sensor fusion in a land vehicle navigation system. However, defects of the first-order linearization of the nonlinear model in the EKF can introduce large estimated errors, and may lead to sub-optimal performance. In order to yield higher accuracy of navigation, in this paper, a novel particle filter (PF) for sensor fusion is proposed and the sampling importance resampling particle filter (SIR-PF) is applied to address the nonlinear measurement model and it shows better performances when compared with the EKF. The basic theories and application of the general PF and the SIR-PF for a global position system/dead reckoning (GPS/DR) integrated navigation system are discussed.