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arXiv 2003.002182020-03cs.LGstat.ML

Multiplicative Gaussian Particle Filter

National University of Singapore（新加坡国立大学）；University of Adelaide（阿德莱德大学）

Xuan Su, Wee Sun Lee, Zhen Zhang

英文摘要：

We propose a new sampling-based approach for approximate inference in filtering problems. Instead of approximating conditional distributions with a finite set of states, as done in particle filters, our approach approximates the distribution with a weighted sum of functions from a set of continuous functions. Central to the approach is the use of sampling to approximate multiplications in the Bayes filter. We provide theoretical analysis, giving conditions for sampling to give good approximation. We next specialize to the case of weighted sums of Gaussians, and show how properties of Gaussians enable closed-form transition and efficient multiplication. Lastly, we conduct preliminary experiments on a robot localization problem and compare performance with the particle filter, to demonstrate the potential of the proposed method.

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