Unsupervised Learning of Sampling Distributions for Particle Filters

TL;DR

This paper introduces four unsupervised methods to learn sampling distributions for particle filters, improving their accuracy and computational efficiency in estimating nonlinear dynamical systems.

Contribution

It proposes novel unsupervised learning techniques for sampling distributions, including three parametric and one nonparametric, tailored for particle filters.

Findings

Learned distributions outperform designed ones in experiments.

Parametric methods exploit data structure for better sampling.

Nonparametric method offers flexible transformation of uniform variables.

Abstract

Accurate estimation of the states of a nonlinear dynamical system is crucial for their design, synthesis, and analysis. Particle filters are estimators constructed by simulating trajectories from a sampling distribution and averaging them based on their importance weight. For particle filters to be computationally tractable, it must be feasible to simulate the trajectories by drawing from the sampling distribution. Simultaneously, these trajectories need to reflect the reality of the nonlinear dynamical system so that the resulting estimators are accurate. Thus, the crux of particle filters lies in designing sampling distributions that are both easy to sample from and lead to accurate estimators. In this work, we propose to learn the sampling distributions. We put forward four methods for learning sampling distributions from observed measurements. Three of the methods are parametric methods in which we learn the mean and covariance matrix of a multivariate Gaussian distribution; each methods exploits a different aspect of the data (generic, time structure, graph structure). The fourth method is a nonparametric alternative in which we directly learn a transform of a uniform random variable. All four methods are trained in an unsupervised manner by maximizing the likelihood that the states may have produced the observed measurements. Our computational experiments demonstrate that learned sampling distributions exhibit better performance than designed, minimum-degeneracy sampling distributions.