An overview of methods for sequential simulation from posterior distributions for discrete time dynamic models that are typically nonlinear and non-Gaussian, and how to incorporate local linearisation methods similar to those which have previously been employed in the deterministic filtering literature are shown.Expand

Markov chain Monte Carlo and sequential Monte Carlo methods have emerged as the two main tools to sample from high dimensional probability distributions. Although asymptotic convergence of Markov… Expand

We propose a methodology to sample sequentially from a sequence of probability distributions that are defined on a common space, each distribution being known up to a normalizing constant. These… Expand

Optimal estimation problems for non-linear non-Gaussian state-space models do not typically admit analytic solutions. Since their introduction in 1993, particle filtering methods have become a very… Expand

This purpose of this introductory paper is to introduce the Monte Carlo method with emphasis on probabilistic machine learning and review the main building blocks of modern Markov chain Monte Carlo simulation.Expand

This book presents the first comprehensive treatment of Monte Carlo techniques, including convergence results and applications to tracking, guidance, automated target recognition, aircraft navigation, robot navigation, econometrics, financial modeling, neural networks, optimal control, optimal filtering, communications, reinforcement learning, signal enhancement, model averaging and selection.Expand

This paper proposes a new particle filter based on sequential importance sampling that outperforms standard particle filtering and other nonlinear filtering methods very substantially and is in agreement with the theoretical convergence proof for the algorithm.Expand

It is shown that Rao-Blackwellised particle filters (RBPFs) lead to more accurate estimates than standard PFs, and are demonstrated on two problems, namely non-stationary online regression with radial basis function networks and robot localization and map building.Expand

Random finite sets (RFSs) are natural representations of multitarget states and observations that allow multisensor multitarget filtering to fit in the unifying random set framework for data fusion.… Expand

Many real-world data analysis tasks involve estimating unknown quantities from some given observations, and all inference on the unknown quantities is based on the posterior distribution obtained from Bayes’ theorem.Expand