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Lirong Xia

HMM: Particle filters. Lirong Xia. Recap: Reasoning over Time. Markov models. p( X 1 ) p( X|X -1 ). p(E |X ). Hidden Markov models. Filtering: Given time t and evidences e 1 ,…,e t , compute p(X t |e 1:t ). Filtering algorithm. Notation B(X t-1 )=p(X t-1 |e 1:t-1 )

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Lirong Xia

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  1. HMM: Particle filters Lirong Xia

  2. Recap: Reasoning over Time • Markov models p(X1) p(X|X-1) p(E|X) • Hidden Markov models • Filtering: Given time t and evidences e1,…,et, compute p(Xt|e1:t)

  3. Filtering algorithm • Notation • B(Xt-1)=p(Xt-1|e1:t-1) • B’(Xt)=p(Xt|e1:t-1) • Each time step, we start with p(Xt-1 | previous evidence): • Elapse of time B’(Xt)=Σxt-1p(Xt|xt-1)B(xt-1) • Observe B(Xt) ∝p(et|Xt)B’(Xt) • Renormalize B(Xt)

  4. Today • Particle filtering • Viterbi algorithm

  5. Particle Filtering • Sometimes |X| is too big to use exact inference • |X| may be too big to even store B(X) • E.g. X is continuous • Solution: approximate inference • Track samples of X, not all values • Samples are called particles • Time per step is linear in the number of samples • But: number needed may be large • In memory: list of particles • This is how robot localization works in practice

  6. Representation: Particles • p(X) is now represented by a list of N particles (samples) • Generally, N << |X| • Storing map from X to counts would defeat the point • p(x) approximated by number of particles with value x • Many x will have p(x)=0 • More particles, more accuracy • For now, all particles have a weight of 1 Particles: (3,3) (2,3) (3,3) (3,2) (3,3) (3,2) (2,1) (3,3) (3,3) (2,1)

  7. Particle Filtering: Elapse Time • Each particle is moved by sampling its next position from the transition model x’= sample(p(X’|x)) • Samples’ frequencies reflect the transition probabilities • This captures the passage of time • If we have enough samples, close to the exact values before and after (consistent)

  8. Particle Filtering: Observe • Slightly trickier: • Likelihood weighting • Note that, as before, the probabilities don’t sum to one, since most have been downweighted

  9. Particle Filtering: Resample Old Particles: (3,3) w=0.1 (2,1) w=0.9 (2,1) w=0.9 (3,1) w=0.4 (3,2) w=0.3 (2,2) w=0.4 (1,1) w=0.4 (3,1) w=0.4 (2,1) w=0.9 (3,2) w=0.3 New Particles: (2,1) w=1 (2,1) w=1 (2,1) w=1 (3,2) w=1 (2,2) w=1 (2,1) w=1 (1,1) w=1 (3,1) w=1 (2,1) w=1 (1,1) w=1 • Rather than tracking weighted samples, we resample • N times, we choose from our weighted sample distribution (i.e. draw with replacement) • This is analogous to renormalizing the distribution • Now the update is complete for this time step, continue with the next one

  10. Forward algorithm vs. particle filtering Forward algorithm Particle filtering • Elapse of time B’(Xt)=Σxt-1p(Xt|xt-1)B(xt-1) • Observe B(Xt) ∝p(et|Xt)B’(Xt) • Renormalize B(xt) sum up to 1 • Elapse of time x--->x’ • Observe w(x’)=p(et|x’) • Resample resample N particles

  11. Robot Localization • In robot localization: • We know the map, but not the robot’s position • Observations may be vectors of range finder readings • State space and readings are typically continuous (works basically like a very fine grid) and so we cannot store B(X) • Particle filtering is a main technique

  12. SLAM • SLAM = Simultaneous Localization And Mapping • We do not know the map or our location • Our belief state is over maps and positions! • Main techniques: • Kalman filtering (Gaussian HMMs) • particle methods • http://www.cs.duke.edu/~parr/dpslam/D-Wing.html

  13. HMMs: MLE Queries • HMMs defined by: • States X • Observations E • Initial distribution: p(X1) • Transitions: p(X|X-1) • Emissions: p(E|X) • Query: most likely explanation:

  14. State Path • Graph of states and transitions over time • Each arc represents some transition xt-1→xt • Each arc has weight p(xt|xt-1)p(et|xt) • Each path is a sequence of states • The product of weights on a path is the seq’s probability • Forward algorithm • computing the sum of all paths • Viterbi algorithm • computing the best paths X1X2…XN

  15. Viterbi Algorithm

  16. Example

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