Particle Filter

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Particle Filter

© All Rights Reserved

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Delft

University of Technology

of interest for many researchers recently. Decades of research has

been fruitful, resulting in numbers of techniques and tools to solve

this problem. One particular framework that is widely used is

so called bayesian filter. This framework incorporates bayesian

rule in estimating posterior belief of robots state. Variants of

bayesian filter are kalman filter and particle filter. In this paper,

we emphasize on studying the principle of particle filter, deriving

particle filter for robots localization problem and discuss the

comparison between kalman filter and particle filter.

Index Termsbayesian filter, particle filter, kalman filter.

I. I NTRODUCTION

Nowadays robots are more and more autonomous; one

interesting problem for them is how to localize themselves

based on their knowledge of the environment. One idea is to

use Particle filter [1].

Particle filterings main objective is to track an object of

interest (can be robots, human, vehicles, or any other objects

of interest) whose state is evolving over time, typically with a

non-gaussian and potentially multi-modal probability density

function (pdf) [3]. Since the variable of interest is evolving

over time, particle filter requires an estimation of the state

of the system that changes over time. The estimation is

formulated using sequence of noisy measurement data made

on the system.

Particle filter uses multiple copies of the variable of interest

(which is called particles). Each of the particle is associated

with a certain weight that signifies the quality of that specific

particle. The estimation of the variable of interest is represented by a pdf obtained by the weighted sum of all particles.

The algorithm is recursive and operates in two main phases:

prediction and update. After each iteration, each particle is

modified according to the existing model (prediction stage),

including the addition of noise in order to simulate the effect

of noise on the variable of interest. Then, each particles

weight is re-evaluated based on the latest sensory information

available (update stage). The particles with (infinitesimally)

small weights will be eliminated through resampling process.

In this paper, we discuss and review particle filter, specifically for robotic tracking application. The paper is organized as

following. In section II, we concern about number of institutes

that has been using particle filter for their research projects.

Their application and the particle filters version is explained.

Section III and IV focuses on the basic theory of particle filter

followed by a discussion about the trade-off introduced in

particle filter, namely degeneracy vs loss of diversity problem.

Section V provides an example of particle filter application

for robotic tracking (localization) problem. We continue with

a potential solution for the problem. In section VI, we try

compared to kalman filter in control engineering field. Finally,

we conclude the review in section VII.

II. A PPLICATIONS

Several universities have already introduced the use of

particle filter in the robotic application.

A. University of Washington

1) Particle Filters for Mobile Robot Localization [Fox et

al., 2001] [4]:

This project using a family of methods, known as Monte

Carlo Localization (MCL) which is a particle filter combined

with probabilistic model of robot perception and motion. here

the robot pose is unknown, and it has to determine its position

from scratch. in this problem, robots localization error can be

arbitrarily large.

Filter

1) Nursebot - robotic assistant in nursing home [Thrun et

al., 1998][7]:

This project introducing Pearl, a mobile robot system being

designed to assist elderly people in navigating their daily

activities and their environment. The type of particle filter used

is called rao-blackwellised particle filter.

the coherence between them.

Fig. 4: Localization result of the Humanoid Robot, a) Positioning test, b) Free play test

A. Bayesian Filter

C. University of Freiburg

1) Detecting Failure on Mobile Robots [Plagemann et al.,

2007][5]:

The goal of the project is to enable a mobile robot to

determine whether the system is running free of faults or to

identify the cause for faulty behavior. The mixed-abstraction

particle filter is proposed as an efficient way of dealing with

potential failures of mobile robots.

Bayesian filter is a framework for calculating belief of a system state based on bayesian rule. This framework comprises

of two main stages: prediction and update. Prediction is done

using the systems transition function. Afterwards, update is

calculated from the measurement. The bayes filter algorithm

is defined as follows:

Prediction:

Z

p(xk |z1:k1 ) = p(xk |xk1 )p(xk1 |z1:k1 )dxk1

(1)

Update:

p(xk |z1:k ) =

p(zk |z1:k1 )

(2)

B. Particle Filter

door while moving on its planned trajectory to the neighboring

room.

D. Universitat Politecnica de Valencia

1) Particle Filter for Self-Localization in RoboCup Humanoid Robot [Sanchez et al., 2013][6]:

Introducing a complete procedure to implement a reliable

self-localization method ranging from the perception system to

the localization itself. It has been developed a sensor modelling

method and its subsequent adjust to improve the measuring

system and the perception of the environment. on the other

hand it also introduces a new implementation of the particle

filter whose operation lies on finding the best particle in every

system with nonlinear transition function, nonlinear noise and

multimodal posterior distribution. The idea of particle filter is

as follows. First, the filter initialize a number of particles, each

particle has the same weight and corresponds to an estimate

about the system state. Through prediction and update stages,

these weights will evolve and concentrate only few particle

which represents the best estimate of the true state.

The general framework for particle filter is sequential importance sampling (SIS) which are further develop into numbers

of algorithms. Examples of SIS are sampling importance

resampling (SIR) filter and auxiliary sampling importance

resampling (ASIR) filter. These two filters output an estimate

of the state as a discrete distribution density. Although particle

filter generally works in discrete domain, it can be extended

into continuous domain using so called regularized particle

filter.

Degeneracy problem is the problem inherent in particle

filter. Initially, every particle is assigned a uniform weight.

As the filter iterates, the weights are updated and after some

time, only few particles are worth paying attention to. The rest

of it are so small thus negligible. This is clearly not desired

because this means we spend computation effort for trivial

particles.

To alleviate the degeneracy problem, resampling technique

is proposed. By resampling the particles for each iteration,

only those who possess valuable information will be likely to

survive. The insignificant particles will die out and disappear

over time. However, this also comes with another problem

known as loss of diversity problem. Due to resampling, points

that have larger weight will be selected more often, hence the

particles will contain the same point more than one. This in

turn will result in a bad representation of posterior density.

This is the trade-off that one must understand in implementing particle filter. There are some other modification to reduce

the effect of loss of diversity such as regularized particle filter

[8]. In this type of particle filter, we consider drawing samples

from a continuous instead of discrete distribution.

IV. VARIOUS V ERSION OF PARTICLE F ILTERS

The Sequential Importance Sampling (SIS) algorithm is

the basic of most version of particle filter developed so far.

Various version of the particle filter in this literature is actually

a special cases for the general SIS algorithm. The various

version of particle filter can be derived by appropriate choice

of importance sampling density and/or modification of the

resampling step.

A. Sampling Importance Resampling (SIR) Filter

The SIR algorithm is derived from SIS algorithm by appropriate choice of importance density and the resampling step. In

the SIR algorithm, q(xk |xik1 , z1:k ) is chosen to be the prior

density p(xk |xik1 ). The importance sampling density for the

SIR filter is independent of measurement zk , so the state space

is explored without any knowledge of the observations. It will

result to the inefficiency of the filter and sensitivity to outliers.

The resampling step of the SIR filter resamples from a discrete approximation. It can be clearly seen from the equation:

p(xk |z1:k )

Ns

X

(3)

i=1

in a discrete approximation of posterior density. Diracs delta

function is a generalized function on the real number line

which is zero everywhere except at the origin, and has the

integral over the whole real line equal to 1. It is represented

as infinitely high, infinitely thin at the origin, which the area

under the function is equal to 1 (we can see this 1 value as

the integral of the delta function).

The resampling is applied at every iteration, which can

result in rapid loss of diversity among the particles. This is

rather than continuous one. The other version of particle filter

is proposed to handle this problem, which will be discussed

later.

Although the SIR has disadvantages explained before, it

does have advantages. The advantages are the importance

weight are easily evaluated and the importance density can

be sampled easily.

B. Regularized Particle Filter (RPF)

As has been explained before, SIR has disadvantage of rapid

loss of diversity among particles, and there will be another

version of particle filter proposed to handle this problem. Since

the cause of the loss of diversity is the discrete approximation

of the posterior density in resampling stage, we can use a

continuous approximation of the posterior density to cope with

this problem.

A modified particle filter, known as Regularized Particle

Filter (RPF) is proposed as a potential solution of the loss of

diversity problem. RPF is actually identical to SIR, and also

a special case derived from SIS. The only difference between

SIR and RPF is in the resampling stage. Since RPF is proposed

to cope the loss of diversity problem of SIR, it resamples from

a continuous approximation of the posterior density, as shown

in the equation:

p(xk |z1:k )

Ns

X

(4)

x

1

K( )

hnx

h

(5)

i=1

Kh (x) =

Kh (x) is actually a kernel density K(.) which is rescaled with

1

hnx . h is kernel bandwidth (scalar), nx is the dimension of

the state vector x. The kernel K(.) and bandwidth are chosen

to minimize the mean integrated square error (MISE) between

the true posterior density and the corresponding regularized

representation in equation 4. The optimal choice of the kernel

is Epanichnikov kernel. The Epanichnikov kernel has the

optimum MISE compared to other kernel such as uniform,

triangular, biweight, triweight, gaussian, cosine and logistic.

To compare the efficiency of all kernels, each of them is

measured in comparison to the Epanichnikov kernel. Below

is the kernel comparison:

Kernel

Epanechnikov

Biweight

Triangular

Normal

Uniform

Efficiency

1.00

0.994

0.986

0.951

0.950

So, we can substitute the kernel that is used to one of those

kernel. Actually the choice of kernel is not as important as the

an optimum bandwidth by reading the paper by Sheather and

Jones (1991) and by Park and Marron (1990).

V. A N A PPLICATION OF PARTICLE F ILTER : SIR F ILTER

FOR ROBOTS S TATE T RACKING

In order to give a more insights on how particle filter

works, we will give an example of particle filter application

for tracking a mobile robot. To be specific, we will apply

SIR particle filter for mobile robots localization. The problem

is defined as follows. First, the robots dynamical equation is

mathematically denoted as follows:

xk+1 = f (xk , uk ) + wk

(6)

zk = h(xk ) + vk

(7)

robot, z is the measurement output, f is the non-linear state

transition function and h is the measurement function. Both

the new state xk+1 and measurement output zk are corrupted

by non-gaussian noise w and v respectively.

Secondly, to make our problem definition even clearer,

following assumptions are made:

1) The map is provided for the mobile robots.

2) Without losing generality, we consider the map to be a

feature based map [2]. Concretely, the map is defined as

M = [m1 , m2 , ..., mN ] where each mi represent a feature

(landmark) whose distance to the robot can be measured

using robots sensors. In reality, the map could also be a

position based map.

3) Given a state xk , the robot is able to calculate true

measurement zki by using raytracing algorithm. True

measurement is the correct measurement robot would

have sensed if it was located at xk . For instance, in the

case of feature based map, the measurement might be

the distance of robot to landmarks if the robot is using

ultrasonic/laser range finder. While the true measurement

is that distance calculated for each particle by using the

knowledge of the map.

The SIR particle filter for problem stated above is written

in following pseudo-code.

1:

2:

3:

4:

5:

6:

7:

8:

9:

10:

11:

12:

m2 , ...,

i

hM = [m1 ,

i m3 ]

h

Ns

Ns

xik+1 , di i=1 = SIRLocalization xik , di i=1 , uk

for i = 1:Ns do

xik+1 = f (xik , uk ) + wk

zki = h(xik ) + vk

i

zki = RayCasting(x

k

)

2

wki = N zki ; zki , hit

end P

for

Ns

= i=1

wki

for i = 1:Ns do

wki = 1 wk

end for

13:

{Resampling

usingi algorithm listed

h

hin [1]}

i

Ns

Ns

xik+1 , di , i=1 = Resample xik , di i=1 , uk

1) Line 1 is where the map is defined. Line 2 is the function

declaration which accepts the current particles xik , i =

[1..Ns ], its weights di and the applied control action uk .

2) Line 4 and 5 is the famous predict-update action i.e. the

robot predicts its next state xik+1 based on the transition

function and inquire a new measurement update based on

sensor function. This action is done for every particle.

3) Line 6 and 7 calculates the importance/weight of each

measurement. First, the true measurement is computed.

Then the weight is calculated according to gaussian

2

distribution with mean zki and variance hit

. Line 9-12

is just for the purpose of normalizing the measurement

weight.

4) Line 13 plays an important role in particle filter, namely

the resampling process. The resmapling algorithm is the

same as written in [1].

VI. PARTICLE F ILTER AND K ALMAN F ILTER : A

C OMPARISON

In a linear system whose noises are assumed to be gaussian,

kalman filter is the optimal estimator. But in practice, noises

may come in any other distribution function and many systems

are best described by nonlinear function. Kalman filter will

poorly tackle this problem. Even in Extended Kalman Filter

that is designed to approximate the nonlinearity of system

equation, gaussian assumption for the posterior density still

must hold. Thus, it is quite possible for non-parametric filter

like particle filter to perform better in these cases.

However, in most engineering discipline, Kalman Filter is

more popular and taught more extensively than particle filter.

Arguably, this is because tuning Kalman filter is relatively

easier, with only two parameters needed to specify: initial state

and covariance matrix. In contrast, in particle filter we need

to specify number of samples, importance density function,

resampling algorithm. Furthermore, in high dimensionality of

states, kalman filter is more efficient than particle filter in term

of memory use. While kalman filter is quadratic, particle filter

could be exponential. Another reason is in most of control

engineering application, we often deal with fast-dynamics

system which requires faster convergence. With respect to this

criteria, kalman filter tends to converge faster than particle

filter.

VII. C ONCLUSION

Particle filter has been showing a significant development

over a past decade. It is likely to yield a better estimate than

kalman filter on certain circumstances such as estimating a

highly nonlinear system with multimodal probability distribution. In robotics application, particle filter is used extensively

for tracking and localization problem.

R EFERENCES

[1] S. Arulampalam, S. Maskel, N. Gordon, and T. Clapp A Tutorial on

Particle Filters for Online Nonlinear/Non-Gaussian Bayesian Tracking

IEEE Transaction on Signal Processing, vol. 50, no. 2, pp. 174-188,

February 2002.

[2] S. Thrun, W. Burgard, and D. Fox, Probabilistic Robotics, The MIT

Press,2005.

[3] I. M. Rekleitis,A Particle FIlter Tutorial for Mobile Robot Localization,

Center for Intelligence Machines, McGill University, St., Montreal, Quebec,2004.

[4] D. Fox, S. Thrun, F. Dellaert, W. Burgard, Particle Filters for Mobile

Robot Localization, Sequential Monte Carlo Methods in Practice, pp.

401-428, 2001

[5] C. Plagemann, C. Stachniss, and W. Burgard, Efcient Failure Detection

for Mobile Robots Using Mixed-Abstraction Particle Filters, University

of Freiburg, 2007.

[6] E.M. Sanchez, M.M. Alcobendas, J.F.B. Noguera, G.B. Gilabert, and

J.E.S. Ten, A Reliability-Based Particle Filter for Humanoid Robot SelfLocalization in RoboCup Standard Platform League Sensors (Basel,

Switzerland). Nov 2013; 13(11)14954.

[7] S. Thrun, M. E. Pollack , L. Brown , D. Colbry , C. Orosz , B. Peintner

, S. Ramakrishnan , S. Engberg , J. T. Matthews , J.D. Jacob , C. E.

McCarthy, Pearl: A Mobile Robotic Assistant for the Elderly, 2002

[8] C. Musso, N. Oudjane, and F. LeGland, Improving regularised particle

filters,, in Sequential Monte Carlo Methods in Practice, A. Doucet, J. F.

G. de Freitas, and N. J. Gordon, Eds. New York: Springer-Verlag, 2001

[9] S.J. Sheather, M.C. Jones, A Reliable Data-Based Bandwidth Selection

Method for Kernel Density Estimation, Journal of the Royal Statistical

Society. Series B (Methodolical), Vol. 53, issue 3, pp. 683-390, 1991

[10] B.U. Park, J.S. Marron, Comparison of Data-Driven Bandwidth Selector, Journal of the American Statictical Association, Vol. 85, Issue 409,

March 1990.

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