Theory and Implementation

of Particle Filters

Miodrag Bolic

Assistant Professor
School of Information Technology and Engineering
University of Ottawa
mbolic@site.uottawa.ca
12 Nov 2004 1

Big picture
Observed signal 1

t Estimation
sensor Particle
Observed signal 2
Filter

t t

‰ Goal: Estimate a stochastic process

given some noisy observations
‰ Concepts:
‰ Bayesian filtering
‰ Monte Carlo sampling

12 Nov 2004 2
 Particle filtering operations
„ Particle filter is a technique for implementing recursive
Bayesian filter by Monte Carlo sampling
„ The idea: represent the posterior density by a set of
random particles with associated weights.
„ Compute estimates based on these samples and
weights
Posterior density

Sample space

12 Nov 2004 3

Outline

„ Motivation
„ Applications
„ Fundamental concepts
„ Sample importance resampling
„ Advantages and disadvantages
„ Implementation of particle filters in hardware

12 Nov 2004 4
Motivation

„ The trend of addressing complex problems

continues
„ Large number of applications require
evaluation of integrals
„ Non-linear models
„ Non-Gaussian noise

12 Nov 2004 5

Sequential Monte Carlo Techniques

„ Bootstrap filtering
„ The condensation algorithm
„ Particle filtering
„ Interacting particle approximations
„ Survival of the fittest

12 Nov 2004 6
History

„ First attempts – simulations of growing polymers

‰ M. N. Rosenbluth and A.W. Rosenbluth, “Monte Carlo calculation of the average extension
of molecular chains,” Journal of Chemical Physics, vol. 23, no. 2, pp. 356–359, 1956.

„ First application in signal processing - 1993

‰ N. J. Gordon, D. J. Salmond, and A. F. M. Smith, “Novel approach to nonlinear/non-
Gaussian Bayesian state estimation,” IEE Proceedings-F, vol. 140, no. 2, pp. 107–113,
1993.

„ Books
‰ A. Doucet, N. de Freitas, and N. Gordon, Eds., Sequential Monte Carlo Methods in Practice,
Springer, 2001.
‰ B. Ristic, S. Arulampalam, N. Gordon, Beyond the Kalman Filter: Particle Filters for
Tracking Applications, Artech House Publishers, 2004.

„ Tutorials
‰ M. S. Arulampalam, S. Maskell, N. Gordon, and T. Clapp, “A tutorial on particle filters for
online nonlinear/non-gaussian Bayesian tracking,” IEEE Transactions on Signal Processing,
vol. 50, no. 2, pp. 174–188, 2002.

12 Nov 2004 7

Outline

„ Motivation
„ Applications
„ Fundamental concepts
„ Sample importance resampling
„ Advantages and disadvantages
„ Implementation of particle filters in hardware

12 Nov 2004 8
 Applications
„ Signal processing „ Other applications1)
‰ Image processing and ‰ Biology & Biochemistry
segmentation ‰ Chemistry
‰ Model selection ‰ Economics & Business
‰ Tracking and navigation ‰ Geosciences
„ Communications ‰ Immunology
‰ Channel estimation ‰ Materials Science
‰ Blind equalization ‰ Pharmacology &
‰ Positioning in wireless Toxicology
networks ‰ Psychiatry/Psychology
‰ Social Sciences
1) A. Doucet, S.J. Godsill, C. Andrieu, "On Sequential Monte Carlo Sampling Methods for Bayesian Filtering",
Statistics and Computing, vol. 10, no. 3, pp. 197-208, 2000

12 Nov 2004 9

Bearings-only tracking

„ The aim is to find the position and velocity of the

tracked object.
„ The measurements taken by the sensor are the
bearings or angles with respect to the sensor.
„ Initial position and velocity are approximately known.
„ System and observation noises are Gaussian.
„ Usually used with a passive sonar.

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Bearings-only tracking
‰ States: position and velocity xk=[xk, Vxk, yk, Vyk]T
‰ Observations: angle zk

‰ Observation equation: zk=atan(yk/ xk)+vk

‰ State equation: xk=Fxk-1+ Guk

yk
yk+1
Trajectory

zk+1
zk
xk xk+1 x

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Bearings-only tracking

‰ Blue – True trajectory

‰ Red – Estimates

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 Car positioning

„ Observations are the velocity and

turn information1)
„ A car is equipped with an electronic
roadmap
„ The initial position of a car is
available with 1km accuracy
„ In the beginning, the particles are
spread evenly on the roads
„ As the car is moving the particles
concentrate at one place

1) Gustafsson et al., “Particle Filters for Positioning, Navigation, and Tracking,” IEEE Transactions on SP, 2002

12 Nov 2004 13

Detection over flat-fading channels

„ Detection of data transmitted over unknown Rayleigh

fading channel
„ The temporal correlation in the channel is modeled
using AR(r) process
„ At any instant of time t, the unknowns are , and ,
and our main objective is to detect the transmitted
symbol sequentially

h(t) v(t)

s(t) y(t)
st g(t) yt
Channel Sampling

12 Nov 2004 14
Outline

„ Motivation
„ Applications
„ Fundamental concepts
„ Sample importance resampling
„ Advantages and disadvantages
„ Implementation of particle filters in hardware

12 Nov 2004 15

Fundamental concepts

„ State space State space

model
representation
Solution Problem
„ Bayesian filtering Estimate Integrals are
„ Monte-Carlo sampling posterior not tractable

„ Importance sampling Monte Carlo Difficult to

Sampling draw samples

Importance
Sampling

12 Nov 2004 16
Representation of dynamic systems

‰ The state sequence is a Markov random process

State equation: xk=fx(xk-1, uk)
‰ xk state vector at time instant k
‰ fx state transition function
‰ uk process noise with known distribution

Observation equation: zk=fz(xk, vk)

‰ zk observations at time instant k
‰ fx observation function
‰ vk observation noise with known distribution

12 Nov 2004 17

Representation of dynamic systems

The alternative representation of dynamic system is

by densities.

„ State equation: p(xk|xk-1)

„ Observation equation: p(zk|xk)

„ The form of densities depends on:

‰ Functions fx(·) and fz(·)
‰ Densities of uk and vk

12 Nov 2004 18
 Bayesian Filtering

„ The objective is to estimate unknown state xk, based

on a sequence of observations zk, k=0,1,… .
Objective in Bayesian approach
↓
Find posterior distribution p(x0:k|z1:k)

„ By knowing posterior distribution all kinds of

estimates can be computed:

12 Nov 2004 19

Update and propagate steps

„ k=0
„ Bayes theorem
p(z 0 | x 0 )
Filtering density: p(x 0 | z 0 ) = p(x 0 )
p(z 0 )

Predictive density: p (x1 | z 0 ) = ∫ p (x1 | x 0 ) p (x 0 | z 0 )dx 0

z0 z1 z2

p(x0)
Update Propagate Update Propagate … Update Propagate
p(x0|z0) p(x1|z0) p(x1|z1) p(x2|z1) p(xk|zk-1) p(xk|zk) p(xk+1|zk)

12 Nov 2004 20
Update and propagate steps

„ k>0
„ Derivation is based on Bayes theorem and Markov
property

p (z k | x k )
Filtering density: p (x k | z1:k ) = p (x k | z1:k −1 )
p (z k | z1:k −1 )

Predictive density: p(x k +1 | z1:k ) = ∫ p (x k +1 | x k ) p (x k | z1:k )dx k

12 Nov 2004 21

Meaning of the densities

Bearings-only tracking problem

„ p(xk|z1:k) posterior
‰ What is the probability that the object is at the location xk for
all possible locations xk if the history of measurements is
z1:k?
„ p(xk|xk-1) prior
‰ The motion model – where will the object be at time instant k
given that it was previously at xk-1?
„ p(zk|xk) likelihood
‰ The likelihood of making the observation zk given that the
object is at the location xk.

12 Nov 2004 22
Bayesian filtering - problems

„ Optimal solution in the sense of computing posterior

„ The solution is conceptual because integrals are not
tractable
„ Closed form solutions are possible in a small number
of situations
Gaussian noise process and linear state space model
↓
Optimal estimation using the Kalman filter
„ Idea: use Monte Carlo techniques

12 Nov 2004 23

Monte Carlo method

„ Example: Estimate the variance of a zero mean Gaussian

process +∞
v = ∫ x 2 p ( x)dx
−∞

„ Monte Carlo approach:

1. Simulate M random variables from a Gaussian distribution

x ( m ) ~ N (0, σ 2 )
2. Compute the average
1
∑
M
v= m =1
( x (m) 2
)
M
12 Nov 2004 24
Importance sampling

„ Classical Monte Carlo integration – Difficult to draw

samples from the desired distribution
„ Importance sampling solution:
1. Draw samples from another (proposal) distribution
2. Weight them according to how they fit the original distribution

„ Free to choose the proposal density

„ Important:
‰ It should be easy to sample from the proposal density
‰ Proposal density should resemble the original density as
closely as possible

12 Nov 2004 25

Importance sampling

„ Evaluation of integrals
p( x)
E ( f ( X )) = ∫ f ( x) p ( x)dx = ∫ f ( x) π ( x)dx
X X
π ( x)
„ Monte Carlo approach:
1. Simulate M random variables from proposal density π(x)

x ( m ) ~ π ( x)
2. Compute the average
1 p( x ( m) )
∑
M
E ( f ( x)) ≈ f (x (m)
)
M m =1
π
1
( x (m) )
424 3
w( m )

12 Nov 2004 26
Outline

„ Motivation
„ Applications
„ Fundamental concepts
„ Sample importance resampling
„ Advantages and disadvantages
„ Implementation of particle filters in hardware

12 Nov 2004 27

Sequential importance sampling

Idea:
„ Update filtering density using Bayesian filtering
„ Compute integrals using importance sampling

„ The filtering density p(xk|z1:k) is represented using

particles and their weights {x ( m)
k , wk( m ) }
M
m =1

p ( xk( m ) , z1:k )
„ Compute weights using:
(m)
w =
π ( xk( m ) , z1:k )
k

Posterior

12 Nov 2004 28
Sequential importance sampling
„ Let the proposal density be equal to the prior
„ Particle filtering steps for m=1,…,M:

1. Particle generation xk( m ) ~ p ( xk | xk −1 )

2a. Weight computation wk*( m ) = wk*(−m1 ) p ( z k | xk( m ) )

wk*( m )
2b. Weight normalization w (m)
k = M

∑w
m =1
*( m )
k
M
3. Estimate computation E ( g ( xk | z1:k )) = ∑ g ( xk( m ) ) wk( m )
m =1

12 Nov 2004 29

Resampling
Problems:
‰ Weight Degeneration
‰ Wastage of computational resources

Solution ⇒ RESAMPLING

‰ Replicate particles in proportion to their weights

‰ Done again by random sampling
M
⎧~ (m) 1⎫
⎨ x k , {(m)
⎬ ~ xk , wk
M ⎭ m =1
(m)
}M
m =1
⎩
12 Nov 2004 30
Resampling
M
⎧ (m) 1 ⎫
⎨ xk + 2 , ⎬
M ⎩ M ⎭ m =1
⎧ ~ (m) 1 ⎫
⎨ x k +1 , ⎬
⎩ M ⎭m =1
{x ( m)
k +1 , wk( m+1) } M
m =1

M
⎧ (m) 1 ⎫
⎨ xk +1 , ⎬
⎧ ~ (m) 1 ⎫
M ⎩ M ⎭ m =1
⎨xk , ⎬
⎩ M ⎭m =1
{x (m)
k , wk( m ) }M
m =1

M
⎧ (m) 1 ⎫
⎨ xk −1 , ⎬
⎩ M ⎭ m =1
x

12 Nov 2004 31

Particle filtering algorithm

Initialize
particles
New observation
Particle
generation
1 2 ... M

1 2 ... M
Weigth
computation

Normalize weights
Output estimates

Resampling
Output

yes More
observations?
no

Exit

12 Nov 2004 32
Bearings-only tracking example
MODEL ALGORITHM
„ States: „ Particle generation

xk=[xk, Vxk, yk, Vyk]T Generate M random numbers u(m)

k ~N( 0 ,σ u )
‰ 2

„ Observations: zk ‰ Particle computation

~ (m)
x (m)
k = F x k + Gu(m)
k
„ Noise
„ Weight computation
u k ~N( 0 ,σ u2 ), vk ~N( 0 ,σ v2 ) yk( m ) 2
wk = Ν ( z k − atan ( m ) , σ v )
*( m )

xk
„ State equation: „ Weight normalization
xk=Fxk-1+ Guk
„ Resampling ⎧ ~ (m) 1 ⎫
M
(m)
⎨x k , ⎬ ~ x k , wk
M ⎭m =1
{
(m)
}
M
m =1
„ Observation ⎩
equation: „ Computation of the estimates
zk=atan(yk/ xk)+vk

12 Nov 2004 33

Bearings-Only Tracking Example

12 Nov 2004 34
Bearings-Only Tracking Example

12 Nov 2004 35

Bearings-Only Tracking Example

12 Nov 2004 36
General particle filter

„ If the proposal is a prior density, then there can be

a poor overlap between the prior and posterior
„ Idea: include the observations into the proposal
density
π ( xk | xk −1 , zk ) = p( xk | x ( m ) , z k )
k −1

„ This proposal density minimize Var ( wk*(m ) )

12 Nov 2004 37

Outline

„ Motivation
„ Applications
„ Fundamental concepts
„ Sample importance resampling
„ Advantages and disadvantages
„ Implementation of particle filters in hardware

12 Nov 2004 38
Advantages of particle filters

„ Ability to represent arbitrary densities

„ Adaptive focusing on probable regions of
state-space
„ Dealing with non-Gaussian noise
„ The framework allows for including multiple
models (tracking maneuvering targets)

12 Nov 2004 39

Disadvantages of particle filters

„ High computational complexity

„ It is difficult to determine optimal number of
particles
„ Number of particles increase with increasing
model dimension
„ Potential problems: degeneracy and loss of
diversity
„ The choice of importance density is crucial

12 Nov 2004 40
Variations

Rao-Blackwellization:
„ Some components of the model may have linear
dynamics and can be well estimated using a
conventional Kalman filter.
„ The Kalman filter is combined with a particle filter to
reduce the number of particles needed to obtain a
given level of performance.

12 Nov 2004 41

Variations

Gaussian particle filters

„ Approximate the predictive and filtering density with
Gaussians
„ Moments of these densities are computed from the
particles
„ Advantage: there is no need for resampling
„ Restriction: filtering and predictive densities are
unimodal

12 Nov 2004 42
Outline

„ Motivation
„ Applications
„ Fundamental concepts
„ Sample importance resampling
„ Advantages and disadvantages
„ Implementation of particle filters in hardware

12 Nov 2004 43

Challenges and results

Challenges
‰ Reducing computational complexity
‰ Randomness – difficult to exploit regular structures in VLSI
‰ Exploiting temporal and spatial concurrency
Results
‰ New resampling algorithms suitable for hardware
implementation
‰ Fast particle filtering algorithms that do not use memories
‰ First distributed algorithms and architectures for particle
filters
12 Nov 2004 44
 Complexity
Complexity
Initialize
particles
New observation
Particle
generation
1 2
4M random number generations
... M

1 2 ... M
Weigth M exponential and arctangent functions
computation

Normalize weights
Output
estimates
Resampling Propagation of the particles
Output

yes More
observations? Bearings-only tracking problem
no Number of particles M=1000
Exit

12 Nov 2004 45

Mapping to the parallel architecture

Start

New observation
Particle
generation
Processing Processing
1 2 ... M Element 1 Element 2

1 2 ... M Central
Unit
Weight
computation
Processing Processing
Resampling Element 3 Element 4

Propagation
of particles
Processing elements (PE) Central Unit
9 Particle generation 9 Algorithm for particle
9 Weight Calculation propagation
9 Resampling
Exit

12 Nov 2004 46
Propagation of particles
p
PE 1 PE 2 PE 3 PE 4 Particles after
resampling
Disadvantages of the particle
propagation step
‰ Random communication pattern
‰ Decision about connections is
not known before the run time

Processing Processing ‰ Requires dynamic type of a

Element 1 Element 2 network
‰ Speed-up is significantly
Central affected
Unit

Processing Processing
Element 3 Element 4

12 Nov 2004 47

Parallel resampling
N=0 N=13 N=0 N=8 N=4 N=4
4 4 1
1 2 1 2 1 2
4 1 1 1
4 1
3 4 3 4 3 4
N=0 N=3 N=0 N=8 N=4 N=4

‰ Solution
‰ The way in which Monte Carlo sampling is performed is modified
‰ Advantages
‰ Propagation is only local
‰ Propagation is controlled in advance by a designer
‰ Performances are the same as in the sequential applications
‰ Result
‰ Speed-up is almost equal to the number of PEs (up to 8 PEs)

12 Nov 2004 48
Architectures for parallel resampling
‰ Controlled particle propagation after resampling
‰ Architecture that allows adaptive connection among the
processing elements

PE1 PE3

Central
Unit

PE2 PE4

12 Nov 2004 49

Space exploration
‰ Hardware platform is Xilinx Virtex-II Pro
‰ Clock period is 10ns
‰ PFs are applied to the bearings-only tracking problem

1000 Limit: Available memory

Limit: Logic blocks

Number of
Virtex II Pro design space
100 1 particles M
Sample period (us)

500
2 1000
5000
4
10000
8 50000
10
16

32

1
K=14
1 10 100
Number of PEs

12 Nov 2004 50
Summary

„ Very powerful framework for estimating parameters

of non-linear and non-Gaussian models
„ Main research directions
‰ Finding new applications for particle filters
‰ Developing variations of particle filters which have reduced
complexity
‰ Finding the optimal parameters of the algorithms (number
of particles, divergence tests)
„ Challenge
‰ Popularize the particle filter so that it becomes a standard
tool for solving many problems in industry

12 Nov 2004 51