An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models
Nonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, provide very good numerical approximations to the associated optimal state estimation problems. However, in many scenarios,...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
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2009
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| _version_ | 1826270833944821760 |
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| author | Kantas, N Doucet, A Singh, S MacIejowski, J |
| author_facet | Kantas, N Doucet, A Singh, S MacIejowski, J |
| author_sort | Kantas, N |
| collection | OXFORD |
| description | Nonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, provide very good numerical approximations to the associated optimal state estimation problems. However, in many scenarios, the state-space model of interest also depends on unknown static parameters that need to be estimated from the data. In this context, standard SMC methods fail and it is necessary to rely on more sophisticated algorithms. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed to perform static parameter estimation in general state-space models. We discuss the advantages and limitations of these methods. © 2009 IFAC. |
| first_indexed | 2024-03-06T21:47:03Z |
| format | Journal article |
| id | oxford-uuid:49f27d68-44f3-451f-be67-e4e7f622b6e9 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T21:47:03Z |
| publishDate | 2009 |
| record_format | dspace |
| spelling | oxford-uuid:49f27d68-44f3-451f-be67-e4e7f622b6e92022-03-26T15:34:49ZAn overview of Sequential Monte Carlo methods for parameter estimation in general state-space modelsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:49f27d68-44f3-451f-be67-e4e7f622b6e9EnglishSymplectic Elements at Oxford2009Kantas, NDoucet, ASingh, SMacIejowski, JNonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, provide very good numerical approximations to the associated optimal state estimation problems. However, in many scenarios, the state-space model of interest also depends on unknown static parameters that need to be estimated from the data. In this context, standard SMC methods fail and it is necessary to rely on more sophisticated algorithms. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed to perform static parameter estimation in general state-space models. We discuss the advantages and limitations of these methods. © 2009 IFAC. |
| spellingShingle | Kantas, N Doucet, A Singh, S MacIejowski, J An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models |
| title | An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models |
| title_full | An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models |
| title_fullStr | An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models |
| title_full_unstemmed | An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models |
| title_short | An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models |
| title_sort | overview of sequential monte carlo methods for parameter estimation in general state space models |
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