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Contributions aux méthodes de Monte Carlo et leur application au filtrage statistique

Abstract : This thesis deals with integration calculus in the context of Bayesian inference and Bayesian statistical filtering. More precisely, we focus on Monte Carlo integration methods. We first revisit the importance sampling with resampling mechanism, then its extension to the dynamic setting known as particle filtering, and finally conclude our work with a multi-target tracking application. Firstly, we consider the problem of estimating some moment of a probability density, known up to a constant, via Monte Carlo methodology. We start by proposing a new estimator affiliated with the normalized importance sampling estimator but using two proposition densities rather than a single one. We then revisit the importance sampling with resampling mechanism as a whole in order to produce Monte Carlo samples that are independent, contrary to the classical mechanism, which enables us to develop two new estimators. Secondly, we consider the dynamic aspect in the framework of sequential Bayesian inference. We thus adapt to this framework our new independent resampling technique, previously developed in a static setting. This yields the particle filtering with independent resampling mechanism, which we reinterpret as a special case of auxiliary particle filtering. Because of the increased cost required by this technique, we next propose a semi independent resampling procedure which enables to control this additional cost. Lastly, we consider an application of multi-target tracking within a sensor network using a new Bayesian model, and empirically analyze the results from our new particle filtering algorithm as well as a sequential Markov Chain Monte Carlo algorithm
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Submitted on : Friday, January 11, 2019 - 10:38:06 AM
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  • HAL Id : tel-01977917, version 1


Roland Lamberti. Contributions aux méthodes de Monte Carlo et leur application au filtrage statistique. Traitement du signal et de l'image [eess.SP]. Université Paris-Saclay, 2018. Français. ⟨NNT : 2018SACLL007⟩. ⟨tel-01977917⟩



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