Simulation-Based Sequential Bayesian Filtering

ISBN-13: 9783843385886 / Angielski / Miękka / 2011 / 124 str.

Opis

Stochastic models are used to describe many real world random processes which necessitate the extraction of hidden (unobserved) states (signals) from noisy observable (measured) outputs. We consider a class of nonlinear dynamic state space models which contain conditionally linear and unknown static parameters. For tracking the a posteriori distribution of the hidden states of this type of models, one can apply particle filtering, which is an increasingly popular method in many fields of science and engineering. It is based on the Bayesian methodology and approximations of the distributions of interest with random measures composed of samples (particles) from the space of the states and weights associated to the particles. Particle filtering performs tracking of the desired distributions as new observations are made by modifying the random measure, that is, the particles and the weights. We address the application of particle filtering with the use of the Rao-Blackwellization principle. Rao-Blackwellization reduces the variance of estimators, and it is based on the Rao-Blackwell theorem.

O autorze

Mahsiul Khan received his BE in Electrical Engineering from the Stony Brook University, New York, USA in 1985. He also received his MS, MPhil and PhD in Applied Mathematics and Statistics from the Stony Brook University, New York, USA in 2002, 2005 and 2009 respectively.