Piecewise constant sequential importance sampling for fast particle filtering

Research output: Contribution to book/Conference proceedings/Anthology/ReportConference contributionContributedpeer-review

Contributors

  • Ömer Demirel - , Max Planck Institute of Molecular Cell Biology and Genetics (Author)
  • Ihor Smal - , Erasmus University Rotterdam (Author)
  • Wiro J. Niessen - , Erasmus University Rotterdam (Author)
  • Erik Meijering - , Erasmus University Rotterdam (Author)
  • Ivo F. Sbalzarini - , Chair of Scientific Computing for Systems Biology, Max Planck Institute of Molecular Cell Biology and Genetics, Center for Systems Biology Dresden (CSBD) (Author)

Abstract

Particle filters are key algorithms for object tracking under non-linear, non-Gaussian dynamics. The high computational cost of particle filters, however, hampers their applicability in cases where the likelihood model is costly to evaluate, or where large numbers of particles are required to represent the posterior. We introduce the piecewise constant sequential importance sampling/resampling (pcSIR) algorithm, which aims at reducing the cost of traditional particle filters by approximating the likelihood with a mixture of uniform distributions over pre-defined cells or bins. The particles in each bin are represented by a dummy particle at the center of mass of the original particle distribution and with a state vector that is the average of the states of all particles in the same bin. The likelihood is only evaluated for the dummy particles, and the resulting weight is identically assigned to all particles in the bin. We derive upper bounds on the approximation error of the so-obtained piecewise constant function representation, and analyze how bin size affects tracking accuracy and runtime. Further, we show numerically that the pcSIR approximation error converges to that of sequential importance sampling/resampling (SIR) as the bin size is decreased. We present a set of numerical experiments from the field of biological image processing and tracking that demonstrate pcSIR's capabilities. Overall, we consider pcSIR a promising candidate for simple, fast particle filtering in generic applications, especially in those with a costly likelihood update step.

Details

Original languageEnglish
Title of host publicationIET Conference on Data Fusion and Target Tracking 2014
PublisherInstitution of Engineering and Technology
Edition629 CP
ISBN (print)9781849198639
Publication statusPublished - 2014
Peer-reviewedYes

Publication series

SeriesIET Conference on Data Fusion & Target Tracking: Algorithms and Applications (DF&TT)
Number629 CP
Volume2014

Conference

TitleIET Conference on Data Fusion and Target Tracking 2014: Algorithms and Applications
Duration30 April 2014
CityLiverpool
CountryUnited Kingdom

External IDs

ORCID /0000-0003-4414-4340/work/159608277

Keywords

ASJC Scopus subject areas