首页    期刊浏览 2024年12月04日 星期三
登录注册

文章基本信息

  • 标题:Global Sampling for Sequential Filtering over Discrete State Space
  • 本地全文:下载
  • 作者:Pascal Cheung-Mon-Chan ; Eric Moulines
  • 期刊名称:EURASIP Journal on Advances in Signal Processing
  • 印刷版ISSN:1687-6172
  • 电子版ISSN:1687-6180
  • 出版年度:2004
  • 卷号:2004
  • 期号:15
  • 页码:2242-2254
  • DOI:10.1155/S1110865704407173
  • 出版社:Hindawi Publishing Corporation
  • 摘要:

    In many situations, there is a need to approximate a sequence of probability measures over a growing product of finite spaces. Whereas it is in general possible to determine analytic expressions for these probability measures, the number of computations needed to evaluate these quantities grows exponentially thus precluding real-time implementation. Sequential Monte Carlo techniques (SMC), which consist in approximating the flow of probability measures by the empirical distribution of a finite set of particles, are attractive techniques for addressing this type of problems. In this paper, we present a simple implementation of the sequential importance sampling/resampling (SISR) technique for approximating these distributions; this method relies on the fact that, the space being finite, it is possible to consider every offspring of the trajectory of particles. The procedure is straightforward to implement, and well-suited for practical implementation. A limited Monte Carlo experiment is carried out to support our findings.

国家哲学社会科学文献中心版权所有