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}}

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==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 ==

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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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== Further reading ==

*{{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 book |first1=Simo |last1=Särkkä |title=Bayesian Filtering and Smoothing |publisher=Cambridge University Press |year=2013 |url=https://users.aalto.fi/~ssarkka/pub/cup_book_online_20131111.pdf }}

*{{cite journal |first1=Alexander |last1=Volkov |title=Accuracy bounds of non-Gaussian Bayesian tracking in a NLOS environment |journal=Signal Processing |volume=108 | pages=498–508 |year=2015 |doi= 10.1016/j.sigpro.2014.10.025 |bibcode=2015SigPr.108..498V }}

[[Category:Bayesian estimation]]