A Rao-Blackwellized particle filter to estimate the time-varying noise parameters in non-linear state-space models using alternative stabilized forgetting
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F16%3APU122022" target="_blank" >RIV/00216305:26220/16:PU122022 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1109/ISSPIT.2016.7886040" target="_blank" >http://dx.doi.org/10.1109/ISSPIT.2016.7886040</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/ISSPIT.2016.7886040" target="_blank" >10.1109/ISSPIT.2016.7886040</a>
Alternative languages
Result language
angličtina
Original language name
A Rao-Blackwellized particle filter to estimate the time-varying noise parameters in non-linear state-space models using alternative stabilized forgetting
Original language description
The identification of slowly-varying noise parameters in non-linear state-space models constitutes a long-standing problem. The present paper addresses this task using the Bayesian framework and sequential Monte Carlo (SMC) methodology. The proposed approach utilizes an algebraic structure of the model so that the Rao-Blackwellization of the parameters can be performed, thus involving a finite-dimensional sufficient statistic for each particle trajectory into the resulting algorithm. However, relying on standard SMC methods, such techniques are known to suffer from the particle path degeneracy problem. To counteract this issue, it is proposed to use alternative stabilized forgetting, which compensates for the incomplete knowledge of a model of parameter variations by finding a compromise between possible predictive densities of the parameters. An experimental study proves the efficiency of the introduced Rao-Blackwellized particle filter (RBPF) compared to some recently proposed approaches.
Czech name
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Czech description
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Classification
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)
Result continuities
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
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 16th International Symposium on Signal Processing and Information Technology, ISSPIT 2016
ISBN
978-1-5090-5844-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
229-234
Publisher name
Institute of Electrical and Electronics Engineers
Place of publication
Limassol
Event location
Limassol
Event date
Dec 12, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000406122500042