Sequential Monte Carlo estimation of transition probabilities in mixture filtering problems

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F16%3APU119992" target="_blank" >RIV/00216305:26220/16:PU119992 - isvavai.cz</a>

Result on the web

<a href="http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7528003&isnumber=7527857" target="_blank" >http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7528003&isnumber=7527857</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Sequential Monte Carlo estimation of transition probabilities in mixture filtering problems

Original language description

Physical systems switching between various working regimes are often encountered in practical applications. However, transition probabilities, according to which a system switches from the current regime to another one, are commonly designed as a priori known parameters, and their misspecification can degrade the performance of the algorithms filtering (or estimating) latent variables of the system. To overcome the misspecification, the present paper proposes a novel Sequential Monte Carlo procedure for estimating the transition probabilities. More specifically, it extends the concept of Rao-Blackwellization to the Dirichlet distribution, which represents the model of these probabilities. The experiments show that the proposed technique outperforms some of the classical methods in terms of the estimation precision and also the precision stability.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Project

<a href="/en/project/LQ1601" target="_blank" >LQ1601: CEITEC 2020</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Proceedings of the 19th International Conference on Information Fusion, FUSION 2016

ISBN

978-1-5090-2012-6

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

1063-1070

Publisher name

International Society of Information Fusion

Place of publication

Heidelberg

Event location

Heidelberg

Event date

Jul 5, 2016

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000391273400142