Particle filter with unknown noise statistics and with prior knowledge

Zilberstein, Nicolás Martín et al · Asociación Argentina de Control Automático · 2018

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Autore / responsabile

Zilberstein, Nicolás Martín et al

Editore

Asociación Argentina de Control Automático

Anno

2018

ISSN

8746-8590

ISSN

8746-8590

Lingua

Inglés

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Particle filters have been widely used as a solution to the Bayesian filtering problem, propagating in time a Monte Carlo (MC) approximation of the a posteriori filtering measure. In many situations, the exact statistics of the noises is not known, but some prior information is available. We consider here the estimation of the noise parameters by sampling from the a posteriori distribution of the unknown parameters given the measure data incorporated to the prior information using the Metropolis-Hastings MCMC algorithm. In order to compute the likelihood function, which is needed in the MCMC algorithm to sample from the a posteriori distribution, a factor-graph based approach is used. Fil: Zilberstein, Nicolás Martín. Universidad de Buenos Aires. Facultad de Ingeniería; Argentina Fil: Cernuschi Frias, Bruno. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Electronica; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Argentino de Matemática Alberto Calderón; Argentina

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APA 7

Zilberstein, N. M. E. A. (2018). Particle filter with unknown noise statistics and with prior knowledge. Asociación Argentina de Control Automático. http://hdl.handle.net/11336/157154

MLA

Zilberstein, Nicolás Martín et al. Particle filter with unknown noise statistics and with prior knowledge. Asociación Argentina de Control Automático, 2018. http://hdl.handle.net/11336/157154.

Chicago

Zilberstein, Nicolás Martín et al. 2018. Particle filter with unknown noise statistics and with prior knowledge. Asociación Argentina de Control Automático. http://hdl.handle.net/11336/157154.

Harvard

Zilberstein, N. M. E. A. 2018, Particle filter with unknown noise statistics and with prior knowledge, Asociación Argentina de Control Automático, available at: http://hdl.handle.net/11336/157154 [Accessed 7 Aug. 2026].

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Titolo: Particle filter with unknown noise statistics and with prior knowledge

Autore / collaboratori: Zilberstein, Nicolás Martín et al

Editore: Asociación Argentina de Control Automático

Anno di pubblicazione: 2018

ISSN: 8746-8590

ISSN: 8746-8590

Lingua: Inglés

Soggetti

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PARTICLE FILTER; UNKNOWN NOISE; PRIOR KNOWLEDGE; MCMC; FACTOR GRAPH; https://purl.org/becyt/ford/2.2; https://purl.org/becyt/ford/2