Uncertainty modelling and computational aspects of data association

Jeremie Houssineau, Jiajie Zeng, Ajay Jasra

Published 2020-09-05Version 1

A novel solution to the smoothing problem for multi-object dynamical systems is proposed and evaluated. The systems of interest contain an unknown and varying number of dynamical objects that are partially observed under noisy and corrupted observations. An alternative representation of uncertainty is considered in order to account for the lack of information about the different aspects of this type of complex system. The corresponding statistical model can be formulated as a hierarchical model consisting of conditionally-independent hidden Markov models. This particular structure is leveraged to propose an efficient method in the context of Markov chain Monte Carlo (MCMC) by relying on an approximate solution to the corresponding filtering problem, in a similar fashion to particle MCMC. This approach is shown to outperform existing algorithms in a range of scenarios.