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Communication Dans Un Congrès Année : 2010

Direct vs. indirect sequential Monte-Carlo filters

Résumé

We address the recursive computation of the a posteriori filtering pdf p(n|n) in a Hidden Markov Chain (HMC). Classically p(n|n) is computed via the recursion p(n-1|n-1),p(n|n-1),p(n|n). In this paper we explore direct, prediction-based (P-based) and smoothing-based (S-based) alternative loops for propagating p(n|n). We next address sequential Monte Carlo (SMC) implementations of these filtering paths, and compare our algorithms via simulations

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Calcul [stat.CO]
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Dates et versions

hal-01306303 , version 1 (22-04-2016)

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  • HAL Id : hal-01306303 , version 1

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Yohan Petetin, François Desbouvries. Direct vs. indirect sequential Monte-Carlo filters. SMTDA 2010 : Stochastic Modeling Techniques and Data Analysis International Conference, Jun 2010, Chania, Greece. pp.121 - 128. ⟨hal-01306303⟩
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