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CATEGORIES:Signal Processing and Communications Lab Seminars
SUMMARY:Butterfly resampling - convergence and central lim
it theorems for particle filters with constrained
interactions - Dr Kari Heine\, University of Brist
ol
DTSTART;TZID=Europe/London:20141120T140000
DTEND;TZID=Europe/London:20141120T150000
UID:TALK56121AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/56121
DESCRIPTION:We describe a novel class of particle filters that
generalizes the classical bootstrap filter in a m
anner of introducing constraints on the interactio
n pattern of the particles. In some instances\, th
e conditional independence structure of the new al
gorithm can be expressed as a graph with the same
structure as the butterfly diagram of the Cooley-T
ukey fast Fourier transform. The main motivation f
or the interest in these algorithms with sparse in
dependence structure is to lay rigorous foundation
s for the design of algorithms better suited to mo
dern computing architectures.\n\nThe law of large
numbers and the central limit theorem (CLT) are es
tablished for specific instances of the new partic
le filters. It turns out\, that the price to pay f
or the sparseness of the conditional independence
structure is increased asymptotic variance in the
CLT\, and\, in some cases\, slower rate of converg
ence that manifests itself as a non-standard scali
ng in the CLT.
LOCATION:Board Room\, CUED
CONTACT:Fredrik Lindsten
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