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Evaluating the transmittance between two points along a ray is a key component in solving the light transport through heterogeneous participating media and entails computing an intractable exponential of the integrated medium's extinction coefficient. While algorithms for estimating this transmittance exist, there is a lack of theoretical knowledge about their behaviour, which also prevent new theoretically sound algorithms from being developed. For this purpose, we introduce a new class of unbiased transmittance estimators based on random sampling or truncation of a Taylor expansion of the exponential function. In contrast to classical tracking algorithms, these estimators are non-analogous to the physical light transport process and directly sample the underlying extinction function without performing incremental advancement. We present several versions of the new class of estimators, based on either importance sampling or Russian roulette to provide finite unbiased estimators of the infinite Taylor series expansion. We also show that the well known ratio tracking algorithm can be seen as a special case of the new class of estimators. Lastly, we conduct performance evaluations on both the central processing unit (CPU) and the graphics processing unit (GPU), and the results demonstrate that the new algorithms outperform traditional algorithms for heterogeneous mediums. [ABSTRACT FROM AUTHOR]

We present an algorithm to estimate and quantify the uncertainty of the accelerometers’ relative geometry in an inertial sensor array. We formulate the calibration problem as a Bayesian estimation problem and propose an algorithm that samples the accelerometer positions’ posterior distribution using Markov chain Monte Carlo. By identifying linear substructures of the measurement model, the unknown linear motion parameters are analytically marginalized, and the remaining non-linear motion parameters are numerically marginalized. The numerical marginalization occurs in a low dimensional space where the gyroscopes give information about the motion. This combination of information from gyroscopes and analytical marginalization allows the user to make no assumptions of the motion before the calibration. It thus enables the user to estimate the accelerometer positions’ relative geometry by simply exposing the array to arbitrary twisting motion. We show that the calibration algorithm gives good results on both simulated and experimental data, despite sampling a high dimensional space. [ABSTRACT FROM AUTHOR]

We present a novel algorithm for online, real-time orientation estimation. Our algorithm integrates gyroscope data and corrects the resulting orientation estimate for integration drift using accelerometer and magnetometer data. This correction is computed, at each time instance, using a single gradient descent step with fixed step length. This fixed step length results in robustness against model errors, e.g., caused by large accelerations or by short-term magnetic field disturbances, which we numerically illustrate using Monte Carlo simulations. Our algorithm estimates a three-dimensional update to the orientation rather than the entire orientation itself. This reduces the computational complexity by approximately 1/3 with respect to the state of the art. It also improves the quality of the resulting estimates, specifically when the orientation corrections are large. We illustrate the efficacy of the algorithm using experimental data. [ABSTRACT FROM AUTHOR]

Sequential Monte Carlo (SMC) methods comprise one of the most successful approaches to approximate Bayesian filtering. However, SMC without a good proposal distribution can perform poorly, in particular in high dimensions. We propose nested sequential Monte Carlo, a methodology that generalizes the SMC framework by requiring only approximate, properly weighted, samples from the SMC proposal distribution, while still resulting in a correct SMC algorithm. This way, we can compute an “exact approximation” of, e.g., the locally optimal proposal, and extend the class of models for which we can perform efficient inference using SMC. We show improved accuracy over other state-of-the-art methods on several spatio-temporal state-space models. [ABSTRACT FROM AUTHOR]

Anomalies in the ambient magnetic field can be used as features in indoor positioning and navigation. By using Maxwell's equations, we derive and present a Bayesian nonparametric probabilistic modeling approach for interpolation and extrapolation of the magnetic field. We model the magnetic field components jointly by imposing a Gaussian process (GP) prior to the latent scalar potential of the magnetic field. By rewriting the GP model in terms of a Hilbert space representation, we circumvent the computational pitfalls associated with GP modeling and provide a computationally efficient and physically justified modeling tool for the ambient magnetic field. The model allows for sequential updating of the estimate and time-dependent changes in the magnetic field. The model is shown to work well in practice in different applications. We demonstrate mapping of the magnetic field both with an inexpensive Raspberry Pi powered robot and on foot using a standard smartphone. [ABSTRACT FROM AUTHOR]

In this paper, we present a practical algorithm for calibrating a magnetometer for the presence of magnetic disturbances and for magnetometer sensor errors. To allow for combining the magnetometer measurements with inertial measurements for orientation estimation, the algorithm also corrects for misalignment between the magnetometer and the inertial sensor axes. The calibration algorithm is formulated as the solution to a maximum likelihood problem, and the computations are performed offline. The algorithm is shown to give good results using data from two different commercially available sensor units. Using the calibrated magnetometer measurements in combination with the inertial sensors to determine the sensor’s orientation is shown to lead to significantly improved heading estimates. [ABSTRACT FROM PUBLISHER]

This letter revisits a recent result for the score function estimation by making use of a basic property of the convolution operator. With a probabilistic view of the convolution property, the score function can be estimated as a function of the mean of the parameter posterior distribution, when a pseudoprior distribution for the parameter is introduced. In this letter, the pseudoprior for the parameter is assumed to be Gaussian, which is a common choice in practice. In the end, a toy numerical experiment is implemented to show the efficacy of the estimator, where a particle Markov chain Monte Carlo (MCMC) method is used to sample from the parameter posterior distribution. [ABSTRACT FROM PUBLISHER]

Sequential Monte Carlo (SMC) methods, such as the particle filter, are by now one of the standard computational techniques for addressing the filtering problem in general state-space models. However, many applications require post-processing of data offline. In such scenarios the smoothing problem—in which all the available data is used to compute state estimates—is of central interest. We consider the smoothing problem for a class of conditionally linear Gaussian models. We present a forward-backward-type Rao-Blackwellized particle smoother (RBPS) that is able to exploit the tractable substructure present in these models. Akin to the well known Rao-Blackwellized particle filter, the proposed RBPS marginalizes out a conditionally tractable subset of state variables, effectively making use of SMC only for the “intractable part” of the model. Compared to existing RBPS, two key features of the proposed method are: 1) it does not require structural approximations of the model, and 2) the aforementioned marginalization is done both in the forward direction and in the backward direction. [ABSTRACT FROM PUBLISHER]

In this paper, we present an approach to combine measurements from inertial sensors (accelerometers and gyroscopes) with time-of-arrival measurements from an ultrawideband (UWB) system for indoor positioning. Our algorithm uses a tightly coupled sensor fusion approach, where we formulate the problem as a maximum a posteriori (MAP) problem that is solved using an optimization approach. It is shown to lead to accurate 6-D position and orientation estimates when compared to reference data from an independent optical tracking system. To be able to obtain position information from the UWB measurements, it is imperative that accurate estimates of the UWB receivers' positions and their clock offsets are available. Hence, we also present an easy-to-use algorithm to calibrate the UWB system using a maximum-likelihood (ML) formulation. Throughout this work, the UWB measurements are modeled by a tailored heavy-tailed asymmetric distribution to account for measurement outliers. The heavy-tailed asymmetric distribution works well on experimental data, as shown by analyzing the position estimates obtained using the UWB measurements via a novel multilateration approach. [ABSTRACT FROM PUBLISHER]

The particle filter has become an important tool in solving nonlinear filtering problems for dynamic systems. This correspondence extends our recent work, where we proved that the particle filter converges for unbounded functions, using L^4-convergence. More specifically, the present contribution is that we prove that the particle filter converge for unbounded functions in the sense of L^p-convergence, for an arbitrary p\geq 2. [ABSTRACT FROM PUBLISHER]

In this paper, a new particle filter (PF) which we refer to as the decentralized PF (DPF) is proposed. By first decomposing the state into two parts, the DPF splits the filtering problem into two nested subproblems and then handles the two nested subproblems using PFs. The DPF has the advantage over the regular PF that the DPF can increase the level of parallelism of the PF. In particular, part of the resampling in the DPF bears a parallel structure and can thus be implemented in parallel. The parallel structure of the DPF is created by decomposing the state space, differing from the parallel structure of the distributed PFs which is created by dividing the sample space. This difference results in a couple of unique features of the DPF in contrast with the existing distributed PFs. Simulation results of two examples indicate that the DPF has a potential to achieve in a shorter execution time the same level of performance as the regular PF. [ABSTRACT FROM AUTHOR]