scholarly journals Sequential Monte Carlo methods for multi-sensor tracking with applications to radar systems

2021 ◽  
Author(s):  
Alon Shalev Housfater
Keyword(s):  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Simulated Data ◽  
Tracking Systems ◽  
Sequential Monte Carlo Methods ◽  
Radar Systems ◽  
Radar Networks ◽  
Initialization Scheme ◽  
And Performance ◽  
Asynchronous Observations

The aim of this thesis is to explore specific sequential Monte Carlo (SMC) methods and their application to the unique demands of radar and bearing only tracking systems. Asynchronous radar networks are of special interest and a novel algorithm, the multiple imputation particle filter (MIPF), is formulated to perform data fusion and estimation using asynchronous observations. Convergence analysis is carried out to show that the algorithm will converge to the optimal filter. Simulations are performed to demonstrate the effectiveness of this filter. Next, the problem of multi-sensor bearing only tracking is tackled. A particle based tracking algorithm is derived and a new filter initialization scheme is introduced for the specific task of multi-sensor bearing only tracking. Simulated data is used to study the efficiency and performance of the initialization scheme.

scholarly journals Sequential Monte Carlo methods for multi-sensor tracking with applications to radar systems

2021 ◽  
Author(s):  
Alon Shalev Housfater
Keyword(s):  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Simulated Data ◽  
Tracking Systems ◽  
Sequential Monte Carlo Methods ◽  
Radar Systems ◽  
Radar Networks ◽  
Initialization Scheme ◽  
And Performance ◽  
Asynchronous Observations

The aim of this thesis is to explore specific sequential Monte Carlo (SMC) methods and their application to the unique demands of radar and bearing only tracking systems. Asynchronous radar networks are of special interest and a novel algorithm, the multiple imputation particle filter (MIPF), is formulated to perform data fusion and estimation using asynchronous observations. Convergence analysis is carried out to show that the algorithm will converge to the optimal filter. Simulations are performed to demonstrate the effectiveness of this filter. Next, the problem of multi-sensor bearing only tracking is tackled. A particle based tracking algorithm is derived and a new filter initialization scheme is introduced for the specific task of multi-sensor bearing only tracking. Simulated data is used to study the efficiency and performance of the initialization scheme.

Sequential Monte Carlo methods for diffusion processes

2009 ◽  
Vol 465 (2112) ◽  
pp. 3709-3727 ◽  
Author(s):  
Ajay Jasra ◽  
Arnaud Doucet
Keyword(s):  
Optimal Control ◽  
Monte Carlo ◽  
Option Pricing ◽  
Monte Carlo Methods ◽  
Sequential Monte Carlo ◽  
Diffusion Processes ◽  
Time Discretization ◽  
Initial Condition ◽  
Sequential Monte Carlo Methods ◽  
Low Dimensional

In this paper, we show how to use sequential Monte Carlo methods to compute expectations of functionals of diffusions at a given time and the gradients of these quantities w.r.t. the initial condition of the process. In some cases, via the exact simulation of the diffusion, there is no time discretization error, otherwise the methods use Euler discretization. We illustrate our approach on both high- and low-dimensional problems from optimal control and establish that our approach substantially outperforms standard Monte Carlo methods typically adopted in the literature. The methods developed here are appropriate for solving a certain class of partial differential equations as well as for option pricing and hedging.

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