Simulation-based optimal filter for maneuvering target tracking

Arnaud Doucet; Neil J. Gordon

doi:10.1117/12.364025

4 October 1999 Simulation-based optimal filter for maneuvering target tracking

Arnaud Doucet, Neil J. Gordon

Proceedings Volume 3809, Signal and Data Processing of Small Targets 1999; (1999) https://doi.org/10.1117/12.364025
Event: SPIE's International Symposium on Optical Science, Engineering, and Instrumentation, 1999, Denver, CO, United States

Abstract

While single model filters are sufficient for tracking targets having fixed kinematic behavior, maneuvering targets require the use of multiple models. Jump Markov linear systems whose parameters evolve with time according to a finite state-space Markov chain, have been used in these situations with great success. However, it is well-known that performing optimal estimation for JMLS involves a prohibitive computational cost exponential in the number of observations. Many approximate methods have been proposed in the literature to circumvent this including the well-known GPB and IMM algorithms. These methods are computationally cheap but at the cost of being suboptimal. Efficient off- line methods have recently been proposed based on Markov chain Monte Carlo algorithms that out-perform recent methods based on the Expectation-Maximization algorithms. However, realistic tracking systems need on-line techniques. In this paper, we propose an original on-line Monte Carlo filtering algorithm to perform optimal state estimation of JMLS. The approach taken is loosely based on the bootstrap filter which, wile begin a powerful general algorithm in its original form, does not make the most of the structure of JMLS. The proposed algorithm exploits this structure and leads to a significant performance improvement.

Citation Download Citation

Arnaud Doucet and Neil J. Gordon "Simulation-based optimal filter for maneuvering target tracking", Proc. SPIE 3809, Signal and Data Processing of Small Targets 1999, (4 October 1999); https://doi.org/10.1117/12.364025

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