Convergence of the auxiliary particle implementation of the PHD filter

Optimal Bayesian multi-target filtering is in general computationally impractical owing to the high dimensionality of the multi-target state. The Probability Hypothesis Density (PHD) filter propagates the first moment of the multi-target posterior distribution. While this reduces the dimensionality of the problem, the PHD filter still involves intractable integrals in many cases of interest. Several authors have proposed Sequential Monte Carlo (SMC) implementations of the PHD filter. However, these implementations are the equivalent of the Bootstrap Particle Filter, and the latter is well known to be inefficient. Drawing on ideas from the Auxiliary Particle Filter (APF), a SMC implementation of the PHD filter which employs auxiliary variables to enhance its efficiency was proposed by Whiteley et. al. Numerical examples were presented for two scenarios, including a challenging nonlinear observation model, to support the claim. This paper studies the theoretical properties of this auxiliary particle implementation. $\mathbb{L}_p$ error bounds are established from which almost sure convergence follows.

Auxiliary particle implementation of the probability hypothesis density filter

Optimal Bayesian multi-target filtering is, in general, computationally impractical owing to the high dimensionality of the multi-target state. The Probability Hypothesis Density (PHD) filter propagates the first moment of the multi-target posterior distribution. While this reduces the dimensionality of the problem, the PHD filter still involves intractable integrals in many cases of interest. Several authors have proposed Sequential Monte Carlo (SMC) implementations of the PHD filter. However, these implementations are the equivalent of the Bootstrap Particle Filter, and the latter is well known to be inefficient. Drawing on ideas from the Auxiliary Particle Filter (APF), we present a SMC implementation of the PHD filter which employs auxiliary variables to enhance its efficiency. Numerical examples are presented for two scenarios, including a challenging nonlinear observation model.

A Bayesian approach to tracking in single molecule fluorescence microscopy

Using fluorescence microscopy with single molecule sensitivity it is now possible to follow the movement of individual fluorophore tagged molecules such as proteins and lipids in the cell membrane with nanometer precision. These experiments are important as they allow many key biological processes on the cell membrane and in the cell, such as transcription, translation and DNA replication, to be studied at new levels of detail. Computerized microscopes generate sequences of images (in the order of tens to hundreds) of the molecules diffusing and one of the challenges is to track these molecules to obtain reliable statistics such as speed distributions, diffusion patterns, intracellular positioning, etc. The data set is challenging because the molecules are tagged with a single or small number of fluorophores, which makes it difficult to distinguish them from the background, the fluorophore bleaches irreversibly over time, the number of tagged molecules are unknown and there is occasional loss of signal from the tagged molecules. All these factors make accurate tracking over long trajectories difficult. Also the experiments are technically difficulty to conduct and thus there is a pressing need to develop better algorithms to extract the maximum information from the data. For this purpose we propose a Bayesian approach and apply our technique to synthetic and a real experimental data set.