Recursive Bayesian estimation: Difference between revisions

Revision as of 23:48, 15 January 2008

Revision as of 05:28, 21 January 2008

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{{Merge|Sequential_bayesian_filtering|date=February 2007}}

'''Recursive Bayesian estimation''' is a general probabilistic approach for [[density estimation|estimating]] an unknown [[probability density function]] recursively over time using incoming measurements and a mathematical process model.

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* [[Particle filter]], a sequential Monte Carlo (SMC) based technique, which models the PDF using a set of discrete points

* '''Grid-based estimators''', which subdivide the PDF into a discrete grid

==Sequential Bayesian filtering==

Sequential Bayesian filtering is the extension of the Bayesian estimation for the case when the observed value change in time. It is a method to estimate the real value of an observed variable that evolves in time. The method is named filtering when we estimate the current value given past observations, [[smoothing]] when estimating past value given present and past measures, and prediction when estimating a probable future value.

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

== External links ==

* [http://citeseer.comp.nus.edu.sg/doucet00sequential.html On sequential Monte Carlo sampling methods for Bayesian filtering], Statistics and Computing (2000)

* [http://citeseer.ist.psu.edu/504843.html A Tutorial on Particle Filters for On-line Non-linear/Non-Gaussian Bayesian Tracking], IEEE Transactions on Signal Processing (2001)

* [http://ieeexplore.ieee.org/xpl/tocresult.jsp?isYear=2004&isnumber=28470&Submit32=Go+To+Issue Special Issue on Sequential State Estimation] - Proceedings of the IEEE (Mar 2004)

* [http://julien.diard.free.fr/articles/CIRAS03.pdf A survey of probabilistic models, using the Bayesian Programming methodology as a unifying framework]

[[Category:Bayesian statistics]]

[[Category:Estimation theory]]

[[Category:Control theory]]

[[Category:Non-linear filters]]

[[Category:Linear filters]]

[[Category:Signal processing]]