Particle Filters and Markov Chains for Learning of Dynamical Systems

Sequential Monte Carlo (SMC) and Markov chain Monte Carlo (MCMC) methods provide computational tools for systematic inference and learning in complex dynamical systems, such as nonlinear and non-Gaussian state-space models. This thesis builds upon several methodological advances within these classes of Monte Carlo methods. Particular emphasis is placed on the combination of SMC and MCMC in so called particle MCMC algorithms. These algorithms rely on SMC for generating samples from the often highly autocorrelated state-trajectory. A specific particle MCMC algorithm, referred to as particle Gibbs with ancestor sampling (PGAS), is suggested. By making use of backward sampling ideas, albeit implemented in a forward-only fashion, PGAS enjoys good mixing even when using seemingly few particles in the underlying SMC sampler. This results in a computationally competitive particle MCMC algorithm. As illustrated in this thesis, PGAS is a useful tool for both ...

Lindsten, Fredrik — Linköping University

Accelerating Monte Carlo methods for Bayesian inference in dynamical models

Making decisions and predictions from noisy observations are two important and challenging problems in many areas of society. Some examples of applications are recommendation systems for online shopping and streaming services, connecting genes with certain diseases and modelling climate change. In this thesis, we make use of Bayesian statistics to construct probabilistic models given prior information and historical data, which can be used for decision support and predictions. The main obstacle with this approach is that it often results in mathematical problems lacking analytical solutions. To cope with this, we make use of statistical simulation algorithms known as Monte Carlo methods to approximate the intractable solution. These methods enjoy well-understood statistical properties but are often computational prohibitive to employ. The main contribution of this thesis is the exploration of different strategies for accelerating inference methods based on sequential Monte Carlo ...

Dahlin, Johan — Linköping University

State and Parameter Estimation for Dynamic Systems: Some Investigations

This dissertation presents the outcome of investigations which envisaged to develop improved state and ‘combined state and parameter’ estimation algorithms for nonlinear signal models (during the contingent situations) where the complete knowledge of process and/or measurement noise covariance are not available. Variants of “adaptive nonlinear estimators” capable of providing satisfactory estimation results in the face of unknown noise covariance have been proposed in this dissertation. The proposed adaptive nonlinear estimators incorporate adaptation algorithms with which they can implicitly or explicitly, estimate unknown noise covariances along with estimation of states and parameters. Adaptation algorithms have been mathematically derived following different methods of adaptation which include Maximum Likelihood Estimation (MLE), Covariance Matching method and Maximum a Posteriori (MAP) method. The adaptive nonlinear estimators which have been proposed in this dissertation are formulated with the help of a general framework for adaptive nonlinear ...

Aritro Dey — Jadavpur University

Sensor Fusion for Automotive Applications

Mapping stationary objects and tracking moving targets are essential for many autonomous functions in vehicles. In order to compute the map and track estimates, sensor measurements from radar, laser and camera are used together with the standard proprioceptive sensors present in a car. By fusing information from different types of sensors, the accuracy and robustness of the estimates can be increased. Different types of maps are discussed and compared in the thesis. In particular, road maps make use of the fact that roads are highly structured, which allows relatively simple and powerful models to be employed. It is shown how the information of the lane markings, obtained by a front looking camera, can be fused with inertial measurement of the vehicle motion and radar measurements of vehicles ahead to compute a more accurate and robust road geometry estimate. Further, it ...

Lundquist, Christian — Linköping University

Sequential Bayesian Modeling of non-stationary signals

are involved until the development of Sequential Monte Carlo techniques which are also known as the particle filters. In particle filtering, the problem is expressed in terms of state-space equations where the linearity and Gaussianity requirements of the Kalman filtering are generalized. Therefore, we need information about the functional form of the state variations. In this thesis, we bring a general solution for the cases where these variations are unknown and the process distributions cannot be expressed by any closed form probability density function. Here, we propose a novel modeling scheme which is as unified as possible to cover all these problems. Therefore we study the performance analysis of our unifying particle filtering methodology on non-stationary Alpha Stable process modeling. It is well known that the probability density functions of these processes cannot be expressed in closed form, except for ...

Gencaga, Deniz — Bogazici University

Robust Signal Processing with Applications to Positioning and Imaging

This dissertation investigates robust signal processing and machine learning techniques, with the objective of improving the robustness of two applications against various threats, namely Global Navigation Satellite System (GNSS) based positioning and satellite imaging. GNSS technology is widely used in different fields, such as autonomous navigation, asset tracking, or smartphone positioning, while the satellite imaging plays a central role in monitoring, detecting and estimating the intensity of key natural phenomena, such as flooding prediction and earthquake detection. Considering the use of both GNSS positioning and satellite imaging in critical and safety-of-life applications, it is necessary to protect those two technologies from either intentional or unintentional threats. In the real world, the common threats to GNSS technology include multipath propagation and intentional/unintentional interferences. This thesis investigates methods to mitigate the influence of such sources of error, with the final objective of ...

Li, Haoqing — Northeastern University

Bayesian Signal Processing Techniques for GNSS Receivers: from multipath mitigation to positioning

This dissertation deals with the design of satellite-based navigation receivers. The term Global Navigation Satellite Systems (GNSS) refers to those navigation systems based on a constellation of satellites, which emit ranging signals useful for positioning. Although the american GPS is probably the most popular, the european contribution (Galileo) will be operative soon. Other global and regional systems exist, all with the same objective: aid user's positioning. Initially, the thesis provides the state-of-the-art in GNSS: navigation signals structure and receiver architecture. The design of a GNSS receiver consists of a number of functional blocks. From the antenna to the fi nal position calculation, the design poses challenges in many research areas. Although the Radio Frequency chain of the receiver is commented in the thesis, the main objective of the dissertation is on the signal processing algorithms applied after signal digitation. These ...

Closas, Pau — Universitat Politecnica de Catalunya


In this thesis a number of improvements have been established for specific methods which utilize sequential Monte Carlo (SMC), aka. Particle filtering (PF) techniques. The first problem is the Bayesian multi-target tracking (MTT) problem for which we propose the use of non-parametric Bayesian models that are based on time varying extension of Dirichlet process (DP) models. The second problem studied in this thesis is an important application area for the proposed DP based MTT method; the tracking of vocal tract resonance frequencies of the speech signals. Lastly, we investigate SMC based parameter estimation problem of nonlinear non-Gaussian state space models in which we provide a performance improvement for the path density based methods by utilizing regularization techniques.

Ozkan, Emre — Middle East Technical University

Gaussian Mixture Filters in Hybrid Positioning

Bayesian filtering is a framework for the computation of an optimal state estimate fusing different types of measurements, both current and past. Positioning, especially in urban and indoor environments, is one example of an application where the powerful mathematical framework is needed to compute as a good position estimate as possible from all kinds of measurements and information. In this work, we consider the Gaussian mixture filter, which is an approximation of the Bayesian filter. Especially, we consider filtering with just a few components, which can be computed in real-time on a mobile device. We have developed and compared different Gaussian mixture filters in different scenarios. One filter uses static solutions, which are possibly ambiguous, another extends the Unscented transformation to the Gaussian mixture framework, and some filters are based on partitioning the state space. It is also possible to ...

Ali-Loytty, Simo — Tampere University of Technology

Modelling of the respiratory parameters in non-invasive ventilation

In this study, the respiratory system are modelled by three linear and one non-linear lumped parameter respiratory model, the equations of the models are driven and the parameters are estimated by using statistical signal processing methods. Linear RIC, Viscoelastic and Mead models and proposed basic non-linear RC model are used to resemble the respiratory system of the patient with Chronic Obstructive Pulmonary Disease (COPD) under non-invasive ventilation. Statistical signal processing methods such as Minimum Variance Unbiased Estimation (MVUE), Maximum Likelihood Estimation (MLE), Kalman Filter (KF), Unscented Kalman Filter (UKF) and Extended Kalman Filter (EKF) are very powerful methods to estimate the parameters of the systems embedded in the unknown noise. In the first part of this thesis, artificial respiratory signals (airway flow and airway pressure) are used for the performance measurement criteria. Posterior Cramer Rao Lower Bound (PCRLB) is computed ...

Saatci, Esra — Istanbul University

Contributions to Wideband Hands-free Systems and their Evaluation

This work deals with the advancement of wideband hands-free systems (HFS’s) for mono- and stereophonic cases of application. Furthermore, innovative contributions to the corr. field of quality evaluation are made. The proposed HFS approaches are based on frequency-domain adaptive filtering for system identification, making use of Kalman theory and state-space modeling. Functional enhancement modules are developed in this work, which improve one or more of key quality aspects, aiming at not to harm others. In so doing, these modules can be combined in a flexible way, dependent on the needs at hand. The enhanced monophonic HFS is evaluated according to automotive ITU-T recommendations, to prove its customized efficacy. Furthermore, a novel methodology and techn. framework are introduced in this work to improve the prototyping and evaluation process of automotive HF and in-car-communication (ICC) systems. The monophonic HFS in several configurations ...

Jung, Marc-André — Technische Universität Braunschweig

Auditory Inspired Methods for Multiple Speaker Localization and Tracking Using a Circular Microphone Array

This thesis presents a new approach to the problem of localizing and tracking multiple acoustic sources using a microphone array. The use of microphone arrays offers enhancements of speech signals recorded in meeting rooms and office spaces. A common solution for speech enhancement in realistic environments with ambient noise and multi-path propagation is the application of so-called beamforming techniques, that enhance signals at the desired angle, using constructive interference, while attenuating signals coming from other directions, by destructive interference. Such beamforming algorithms require as prior knowledge the source location. Therefore, source localization and tracking algorithms are an integral part of such a system. However, conventional localization algorithms deteriorate in realistic scenarios with multiple concurrent speakers. In contrast to conventional localization algorithms, the localization algorithm presented in this thesis makes use of fundamental frequency or pitch information of speech signals in ...

Habib, Tania — Signal Processing and Speech Communication Laboratory, Graz University of Technology, Austria

Adaptive Edge-Enhanced Correlation Based Robust and Real-Time Visual Tracking Framework and Its Deployment in Machine Vision Systems

An adaptive edge-enhanced correlation based robust and real-time visual tracking framework, and two machine vision systems based on the framework are proposed. The visual tracking algorithm can track any object of interest in a video acquired from a stationary or moving camera. It can handle the real-world problems, such as noise, clutter, occlusion, uneven illumination, varying appearance, orientation, scale, and velocity of the maneuvering object, and object fading and obscuration in low contrast video at various zoom levels. The proposed machine vision systems are an active camera tracking system and a vision based system for a UGV (unmanned ground vehicle) to handle a road intersection. The core of the proposed visual tracking framework is an Edge Enhanced Back-propagation neural-network Controlled Fast Normalized Correlation (EE-BCFNC), which makes the object localization stage efficient and robust to noise, object fading, obscuration, and uneven ...

Ahmed, Javed — Electrical (Telecom.) Engineering Department, National University of Sciences and Technology, Rawalpindi, Pakistan.

Decentralized Estimation Under Communication Constraints

In this thesis, we consider the problem of decentralized estimation under communication constraints in the context of Collaborative Signal and Information Processing. Motivated by sensor network applications, a high volume of data collected at distinct locations and possibly in diverse modalities together with the spatially distributed nature and the resource limitations of the underlying system are of concern. Designing processing schemes which match the constraints imposed by the system while providing a reasonable accuracy has been a major challenge in which we are particularly interested in the tradeoff between the estimation performance and the utilization of communications subject to energy and bandwidth constraints. One remarkable approach for decentralized inference in sensor networks is to exploit graphical models together with message passing algorithms. In this framework, after the so-called information graph of the problem is constructed, it is mapped onto the ...

Uney, Murat — Middle East Technical University

Multi-Sensor Integration for Indoor 3D Reconstruction

Outdoor maps and navigation information delivered by modern services and technologies like Google Maps and Garmin navigators have revolutionized the lifestyle of many people. Motivated by the desire for similar navigation systems for indoor usage from consumers, advertisers, emergency rescuers/responders, etc., many indoor environments such as shopping malls, museums, casinos, airports, transit stations, offices, and schools need to be mapped. Typically, the environment is first reconstructed by capturing many point clouds from various stations and defining their spatial relationships. Currently, there is a lack of an accurate, rigorous, and speedy method for relating point clouds in indoor, urban, satellite-denied environments. This thesis presents a novel and automatic way for fusing calibrated point clouds obtained using a terrestrial laser scanner and the Microsoft Kinect by integrating them with a low-cost inertial measurement unit. The developed system, titled the Scannect, is the ...

Chow, Jacky — University of Calgary

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