Recursive Bayesian estimation: Difference between revisions

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{{Short description|Process for estimating a probability density function}}

{{About|Bayes filter, a general probabilistic approach|the spam filter with a similar name|Naive Bayes spam filtering}}

In [[Probability Theory|probability theory]], [[statistics]], and [[Machine Learning|machine learning]], '''recursive Bayesian estimation''', also known as a '''Bayes filter''', is a general probabilistic approach for [[density estimation|estimating]] an unknown [[probability density function]] ([[probability density function|PDF]]) recursively over time using incoming measurements and a mathematical process model. The process relies heavily upon mathematical concepts and models that are theorized within a study of prior and posterior probabilities known as [[Bayesian Statisticsstatistics]].

==In robotics==

A Bayes filter is an algorithm used in [[computer science]] for calculating the probabilities of multiple beliefs to allow a [[robot]] to infer its position and orientation. Essentially, Bayes filters allow robots to continuously update their most likely position within a coordinate system, based on the most recently acquired sensor data. This is a recursive algorithm. It consists of two parts: prediction and innovation. If the variables are [[Normal Distribution|normally distributed]] and the transitions are linear, the Bayes filter becomes equal to the [[Kalman filter]].

In a simple example, a robot moving throughout a grid may have several different sensors that provide it with information about its surroundings. The robot may start outbegin with certainty that it is at position (0,0). However, as it moves fartherfurther and fartherfurther from its original position, the robot has continuously less certainty about its position; using a Bayes filter, a probability can be assigned to the robot's belief about its current position, and that probability can be continuously updated from additional sensor information.

== Model ==

The true statemeasurements <math>xz</math> isare assumedthe to[[Manifest bevariable|manifestations]] anof unobserveda [[hidden Markov processmodel]] (HMM), andwhich means the measurementstrue state <math>zx</math> areis theassumed observationsto ofbe aan unobserved [[Hidden Markov modelprocess]] (HMM). The following picture presents a [[Bayesian Networknetwork]] of a HMM.

[[Image:HMM Kalman Filter Derivation.svg|Hidden Markov model|center]]

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:<math>p(\textbf{z}_k|\textbf{x}_k,\textbf{x}_{k-1},\dots,\textbf{x}_{0}) = p(\textbf{z}_k|\textbf{x}_{k} )</math>

Using these assumptions the probability distribution over all states of the HMM can be written simply as:

:<math>p(\textbf{x}_0,\dots,\textbf{x}_k,\textbf{z}_1,\dots,\textbf{z}_k) = p(\textbf{x}_0)\prod_{i=1}^k p(\textbf{z}_i|\textbf{x}_i)p(\textbf{x}_i|\textbf{x}_{i-1}).</math>

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Sequential Bayesian filtering is the extension of the Bayesian estimation for the case when the observed value changes in time. It is a method to estimate the real value of an observed variable that evolves in time.

There are several variations:

The method is named:

;filtering: when estimating the ''current'' value given past and current observations,

;[[smoothing problem|smoothing]]: when estimating ''past'' values given past and current observations, and

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The notion of Sequential Bayesian filtering is extensively used in [[control theory|control]] and [[robotics]].

== ExternalFurther linksreading ==

*{{cite journal |first1=M. Sanjeev |last1=Arulampalam |first2=Simon |last2=Maskell |first3=Neil |last3=Gordon |title=A Tutorial on Particle Filters for On-line Non-linear/Non-Gaussian Bayesian Tracking |journal=IEEE Transactions on Signal Processing |volume=50 |issue= 2|pages=174–188 |year=2002 |doi= 10.1109/78.978374|bibcode=2002ITSP...50..174A |citeseerx=10.1.1.117.1144 }}

*{{cite book |last1=Burkhart |first1=Michael C. |title=A Discriminative Approach to Bayesian Filtering with Applications to Human Neural Decoding |date=2019 |publisher=Brown University |___location=Providence, RI, USA |chapter=Chapter 1. An Overview of Bayesian Filtering|doi=10.26300/nhfp-xv22 }}

*{{cite journal |last1=Chen |first1=Zhe Sage |title=Bayesian Filtering: From Kalman Filters to Particle Filters, and Beyond |journal=Statistics: A Journal of Theoretical and Applied Statistics |date=2003 |volume=182 |issue=1 |pages=1–69}}

*{{cite web |first1=Julien |last1=Diard |first2=Pierre |last2=Bessière |first3=Emmanuel |last3=Mazer |title=A survey of probabilistic models, using the Bayesian Programming methodology as a unifying framework |date=2003 |publisher=cogprints.org |url=http://cogprints.org/3755/1/Diard03a.pdf }}

*{{cite journalbook |first1=AlexanderSimo |last1=VolkovSärkkä |title=Accuracy bounds of non-Gaussian Bayesian trackingFiltering inand a NLOS environmentSmoothing |journalpublisher=SignalCambridge ProcessingUniversity |volume=108 | pages=498–508Press |year=20152013 |doiurl= 10.1016https://jusers.sigproaalto.2014.10fi/~ssarkka/pub/cup_book_online_20131111.025pdf }}

*{{cite bookjournal |first1=SimoAlexander |last1=SärkkäVolkov |title=Accuracy bounds of non-Gaussian Bayesian Filteringtracking andin Smoothinga NLOS environment |publisherjournal=CambridgeSignal UniversityProcessing Press|volume=108 | pages=498–508 |year=20132015 |urldoi=http:/ 10.1016/becsj.aaltosigpro.2014.10.025 |bibcode=2015SigPr.108.fi/~ssarkka/pub/cup_book_online_20131111.pdf498V }}

[[Category:Bayesian estimation]]