{"title":"一个广义隐马尔可夫模型的辅助双滤波粒子平滑法","authors":"Yunqi Chen , Zhibin Yan , Xing Zhang","doi":"10.1016/j.isatra.2024.04.009","DOIUrl":null,"url":null,"abstract":"<div><p>This paper develops two-filter particle smoothing (TFPS) algorithms for the nonlinear fixed-interval smoothing problem of one generalized hidden Markov model (GHMM), where the current observation depends not only on the current state, but also on one-step previous state. Firstly, by Bayesian approach, the two-filter smoothing (TFS) formula for GHMM is established to calculate smoothing densities. In this TFS formula, the backward information prediction density is generally not a density of the state. This results in a difficulty that the normal sequential Monte Carlo (SMC) sampling technique cannot be directly applied to design corresponding TFPS algorithms based on the TFS formula. To solve this difficulty, a generalized TFS formula for GHMM is then proposed by introducing a sequence of artificial densities. By combining this generalized TFS formula, SMC, and the auxiliary variable sampling technique, a basic auxiliary TFPS (ATFPS) algorithm with quadratic computational complexity is proposed, and a simplified ATFPS algorithm with linear computational complexity is further developed. Finally, the effectiveness and superiority of the two proposed ATFPS algorithms for GHMM are verified via simulation examples and real experimental data.</p></div>","PeriodicalId":14660,"journal":{"name":"ISA transactions","volume":"149 ","pages":"Pages 266-280"},"PeriodicalIF":6.5000,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Auxiliary two-filter particle smoothing for one generalized hidden Markov model\",\"authors\":\"Yunqi Chen , Zhibin Yan , Xing Zhang\",\"doi\":\"10.1016/j.isatra.2024.04.009\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper develops two-filter particle smoothing (TFPS) algorithms for the nonlinear fixed-interval smoothing problem of one generalized hidden Markov model (GHMM), where the current observation depends not only on the current state, but also on one-step previous state. Firstly, by Bayesian approach, the two-filter smoothing (TFS) formula for GHMM is established to calculate smoothing densities. In this TFS formula, the backward information prediction density is generally not a density of the state. This results in a difficulty that the normal sequential Monte Carlo (SMC) sampling technique cannot be directly applied to design corresponding TFPS algorithms based on the TFS formula. To solve this difficulty, a generalized TFS formula for GHMM is then proposed by introducing a sequence of artificial densities. By combining this generalized TFS formula, SMC, and the auxiliary variable sampling technique, a basic auxiliary TFPS (ATFPS) algorithm with quadratic computational complexity is proposed, and a simplified ATFPS algorithm with linear computational complexity is further developed. Finally, the effectiveness and superiority of the two proposed ATFPS algorithms for GHMM are verified via simulation examples and real experimental data.</p></div>\",\"PeriodicalId\":14660,\"journal\":{\"name\":\"ISA transactions\",\"volume\":\"149 \",\"pages\":\"Pages 266-280\"},\"PeriodicalIF\":6.5000,\"publicationDate\":\"2024-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ISA transactions\",\"FirstCategoryId\":\"94\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0019057824001642\",\"RegionNum\":2,\"RegionCategory\":\"计算机科学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"AUTOMATION & CONTROL SYSTEMS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ISA transactions","FirstCategoryId":"94","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0019057824001642","RegionNum":2,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
Auxiliary two-filter particle smoothing for one generalized hidden Markov model
This paper develops two-filter particle smoothing (TFPS) algorithms for the nonlinear fixed-interval smoothing problem of one generalized hidden Markov model (GHMM), where the current observation depends not only on the current state, but also on one-step previous state. Firstly, by Bayesian approach, the two-filter smoothing (TFS) formula for GHMM is established to calculate smoothing densities. In this TFS formula, the backward information prediction density is generally not a density of the state. This results in a difficulty that the normal sequential Monte Carlo (SMC) sampling technique cannot be directly applied to design corresponding TFPS algorithms based on the TFS formula. To solve this difficulty, a generalized TFS formula for GHMM is then proposed by introducing a sequence of artificial densities. By combining this generalized TFS formula, SMC, and the auxiliary variable sampling technique, a basic auxiliary TFPS (ATFPS) algorithm with quadratic computational complexity is proposed, and a simplified ATFPS algorithm with linear computational complexity is further developed. Finally, the effectiveness and superiority of the two proposed ATFPS algorithms for GHMM are verified via simulation examples and real experimental data.
期刊介绍:
ISA Transactions serves as a platform for showcasing advancements in measurement and automation, catering to both industrial practitioners and applied researchers. It covers a wide array of topics within measurement, including sensors, signal processing, data analysis, and fault detection, supported by techniques such as artificial intelligence and communication systems. Automation topics encompass control strategies, modelling, system reliability, and maintenance, alongside optimization and human-machine interaction. The journal targets research and development professionals in control systems, process instrumentation, and automation from academia and industry.