Auxiliary Particle Implementation of Probability Hypothesis Density Filter

NP Whiteley, S Singh, S Godsill

Research output: Contribution to journalArticle (Academic Journal)

106 Citations (Scopus)

Abstract

Optimal Bayesian multi-target filtering is, in general, computationally impractical owing to the high dimensionality of the multi-target state. The probability hypothesis density (PHD) filter propagates the first moment of the multi-target posterior distribution. While this reduces the dimensionality of the problem, the PHD filter still involves intractable integrals in many cases of interest. Several authors have proposed sequential Monte Carlo (SMC) implementations of the PHD filter. However these implementations are the equivalent of the bootstrap particle filter, and the latter is well known to be inefficient. Drawing on ideas from the auxiliary particle filter (APF), we present an SMC implementation of the PHD filter, which employs auxiliary variables to enhance its efficiency. Numerical examples are presented for two scenarios, including a challenging nonlinear observation model.
Translated title of the contributionAuxiliary Particle Implementation of Probability Hypothesis Density Filter
Original languageEnglish
Pages (from-to)1437 - 1454
Number of pages18
JournalIEEE Transactions on Aerospace and Electronic Systems
Volume46, issue 3
DOIs
Publication statusPublished - Jul 2010

Bibliographical note

Publisher: IEEE

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