An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models

Nonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, provide very good numerical approximations to the associated optimal state estimation problems. However, in many scenarios, the state-space model of interest also depends on unknown static parameters that need to be estimated from the data. In this context, standard SMC methods fail and it is necessary to rely on more sophisticated algorithms. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed to perform static parameter estimation in general state-space models. We discuss the advantages and limitations of these methods. © 2009 IFAC.

Adaptive sequential Monte Carlo approach for real-time applications

This paper presents an adaptive Sequential Monte Carlo approach for real-time applications. Sequential Monte Carlo method is employed to estimate the states of dynamic systems using weighted particles. The proposed approach reduces the run-time computation complexity by adapting the size of the particle set. Multiple processing elements on FPGAs are dynamically allocated for improved energy efficiency without violating real-time constraints. A robot localisation application is developed based on the proposed approach. Compared to a non-adaptive implementation, the dynamic energy consumption is reduced by up to 70% without affecting the quality of solutions. © 2012 IEEE.

Control of aircraft in the terminal manoeuvring area using parallelised sequential Monte Carlo

This paper reports on the use of a parallelised Model Predictive Control, Sequential Monte Carlo algorithm for solving the problem of conflict resolution and aircraft trajectory control in air traffic management specifically around the terminal manoeuvring area of an airport. The target problem is nonlinear, highly constrained, non-convex and uses a single decision-maker with multiple aircraft. The implementation includes a spatio-temporal wind model and rolling window simulations for realistic ongoing scenarios. The method is capable of handling arriving and departing aircraft simultaneously including some with very low fuel remaining. A novel flow field is proposed to smooth the approach trajectories for arriving aircraft and all trajectories are planned in three dimensions. Massive parallelisation of the algorithm allows solution speeds to approach those required for real-time use.

Rebuilding the limit order book: Sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world's most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges. © 2013 © 2013 Taylor & Francis.