bayesian model selection and multi-target tracking presenters: xingqiu zhao and nikki hu joint work...
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Bayesian Model Selection and Bayesian Model Selection and Multi-target TrackingMulti-target Tracking
Presenters: Xingqiu Zhao and Nikki Hu
Joint work with M. A. Kouritzin, H. Long, J. McCrosky, W. Sun
University of Alberta
Supported by NSERC, MITACS, PIMS Lockheed Martin Naval Electronics and Surveillance System
Lockheed Martin Canada, APR. Inc
Outline Outline
• Introduction
• Simulation Studies
• Filtering Equations
• Markov Chain Approximations
• Model Selection
• Future Work
1. Introduction1. Introduction• Motivation: Submarine tracking and fish farming
• Model:
- Signal:
(1)
d
- Observation:
(2)
• Goal: to find the best estimation for the number of targets and the location of each target.
2. Simulation Studies2. Simulation Studies
3. filtering equations3. filtering equations
• Notations : the space of bounded continuous functions on ; : the set of all cadlag functions from into ; : the spaces of probability measures; : the spaces of positive finite measures on ; : state space of .
Let , , and .
Define
• The generator of Let
where .
For any ,
we define
where
and
• Conditions:
C1. and satisfy the Lipschitz conditions.
C2.
C3.
C4.
• Theorem 1. The equation (1) has a unique solution
a.s.,
which is an -valued Markov process.
• Bayes formula and filtering equations
Theorem 2. Suppose that C1-C3 hold. Then
(i)
(ii)
where
is the innovation process.
(iii)
• Uniqueness
Theorem 3. Suppose that C1-C4 hold. Let be an -
adapted cadlag process which is a solution of the Kushner-FKK equation
where
Then , for all a.s.
Theorem 4 Suppose that C1-C4 hold. If is an - adapted
-valued cadlag process satisfying
and
Then , for all a.s.
4. 4. Markov chain approximationsMarkov chain approximations
• Step 1: Constructing smooth approximation
of the observation process
• Step 2: Dividing D and
Let ,
For , let
For , let
Note that if is a rearrangement
of . Let
then . For , let .
For , with 1 in the i-th coordinate.
• Step 3: Constructing the Markov chain approximations
— Method 1:Method 1:
Let .
Set . One can find that
and
Define as
and for , define as
let
──Method 2Method 2:: Let and ,
Then
and
Define as for .
(μ ) (μ ) μNNA F L f k k
• Let as , take denote the integer part,
set
and let satisfy
Then, the Markov chain approximation is given by
Theorem 5.
in probability on
for almost every sample path of .
5. Model selection5. Model selection • Assume that the possible number of targets is , .
Model k: , . Which model is better?
• Bayesian FactorsBayesian Factors
Define the filter ratio processes as
• The Evolution of Bayesian Factors Let and be independent and Y be Brownian
motion on some probability space.
Theorem 3.
Let be the generator of , . Suppose that is continuous. Then is the unique measure-valued pair solution of the following system of SDEs,
(3)
for , and
(4)
for , where is the optimal filter for model k, and
• Markov chain approximations Applying the method in Section 3, one can construct
Markov chain approximations to equations (3) and (4).
6. Future work6. Future work
• Number of targets is a random variable
• Number of Targets is a random process