Uncertainty in Artificial Intelligence
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Rao-Blackwellised Particle Filtering for Dynamic Bayesian Networks
Arnaud Doucet, Nando de Freitas, Kevin Murphy, Stuart Russell
Abstract:
Particle filters (PFs) are powerful sampling-based inference/learning algorithms for dynamic Bayesian networks (DBNs). They allow us to treat, in a principled way, any type of probability distribution, nonlinearity and non-stationarity. They have appeared in several fields under such names as ``condensation'', ``sequential Monte Carlo'' and ``survival of the fittest''. In this paper, we show how we can exploit the structure of the DBN to increase the efficiency of particle filtering, using a technique known as Rao-Blackwellisation. Essentially, this samples some of the variables, and marginalizes out the rest exactly, using the Kalman filter, HMM filter, junction tree algorithm, or any other finite dimensional optimal filter. We show that Rao-Blackwellised particle filters (RBPFs) lead to more accurate estimates than standard PFs. We demonstrate RBPFs on two problems, namely non-stationary online regression with radial basis function networks and robot localization and map building. We also discuss other potential application areas and provide references to some finite dimensional optimal filters.
Keywords: Particle filtering, Rao-Blackwellisation, On-line inference, On-line learning, Robot
Pages: 176-183
PS Link: http://www.cs.berkeley.edu/~jfgf/dbncop.ps
PDF Link: /papers/00/p176-doucet.pdf
BibTex:
@INPROCEEDINGS{Doucet00,
AUTHOR = "Arnaud Doucet and Nando de Freitas and Kevin Murphy and Stuart Russell",
TITLE = "Rao-Blackwellised Particle Filtering for Dynamic Bayesian Networks",
BOOKTITLE = "Proceedings of the Sixteenth Conference Annual Conference on Uncertainty in Artificial Intelligence (UAI-00)",
PUBLISHER = "Morgan Kaufmann",
ADDRESS = "San Francisco, CA",
YEAR = "2000",
PAGES = "176--183"
}


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