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The probability hypothesis density (PHD) and Poisson multi-Bernoulli (PMB) filters are two popular set-type multi-object filters. Motivated by the fact that the multi-object filtering density after each update step in the PHD filter is a PMB without approximation, in this paper we present a multi-object smoother involving PHD forward filtering and PMB backward smoothing. This is achieved by first running the PHD filtering recursion in the forward pass and extracting the PMB filtering densities after each update step before the Poisson Point Process approximation, which is inherent in the PHD filter update. Then in the backward pass we apply backward simulation for sets of trajectories to the extracted PMB filtering densities. We call the resulting multi-object smoother hybrid PHD-PMB trajectory smoother. Notably, the hybrid PHD-PMB trajectory smoother can provide smoothed trajectory estimates for the PHD filter without labeling or tagging, which is not possible for existing PHD smoothers. Also, compared to the trajectory PHD filter, which can only estimate alive trajectories, the hybrid PHD-PMB trajectory smoother enables the estimation of the set of all trajectories. Simulation results demonstrate that the hybrid PHD-PMB trajectory smoother outperforms the PHD filter in terms of both state and cardinality estimates, and the trajectory PHD filter in terms of false detections., Comment: 2024 IEEE International conference on multisensor fusion and integration (MFI 2024). arXiv admin note: text overlap with arXiv:2206.08112

In the rapidly evolving field of 3D reconstruction, 3D Gaussian Splatting (3DGS) and 2D Gaussian Splatting (2DGS) represent significant advancements. Although 2DGS compresses 3D Gaussian primitives into 2D Gaussian surfels to effectively enhance mesh extraction quality, this compression can potentially lead to a decrease in rendering quality. Additionally, unreliable densification processes and the calculation of depth through the accumulation of opacity can compromise the detail of mesh extraction. To address this issue, we introduce MVG-Splatting, a solution guided by Multi-View considerations. Specifically, we integrate an optimized method for calculating normals, which, combined with image gradients, helps rectify inconsistencies in the original depth computations. Additionally, utilizing projection strategies akin to those in Multi-View Stereo (MVS), we propose an adaptive quantile-based method that dynamically determines the level of additional densification guided by depth maps, from coarse to fine detail. Experimental evidence demonstrates that our method not only resolves the issues of rendering quality degradation caused by depth discrepancies but also facilitates direct mesh extraction from dense Gaussian point clouds using the Marching Cubes algorithm. This approach significantly enhances the overall fidelity and accuracy of the 3D reconstruction process, ensuring that both the geometric details and visual quality., Comment: https://mvgsplatting.github.io

Simultaneous localization and mapping (SLAM) methods need to both solve the data association (DA) problem and the joint estimation of the sensor trajectory and the map, conditioned on a DA. In this paper, we propose a novel integrated approach to solve both the DA problem and the batch SLAM problem simultaneously, combining random finite set (RFS) theory and the graph-based SLAM approach. A sampling method based on the Poisson multi-Bernoulli mixture (PMBM) density is designed for dealing with the DA uncertainty, and a graph-based SLAM solver is applied for the conditional SLAM problem. In the end, a post-processing approach is applied to merge SLAM results from different iterations. Using synthetic data, it is demonstrated that the proposed SLAM approach achieves performance close to the posterior Cram\'er-Rao bound, and outperforms state-of-the-art RFS-based SLAM filters in high clutter and high process noise scenarios.

This paper considers a batch solution to the multi-object tracking problem based on sets of trajectories. Specifically, we present two offline implementations of the trajectory Poisson multi-Bernoulli mixture (TPMBM) filter for batch data based on Markov chain Monte Carlo (MCMC) sampling of the data association hypotheses. In contrast to online TPMBM implementations, the proposed offline implementations solve a large-scale, multi-scan data association problem across the entire time interval of interest, and therefore they can fully exploit all the measurement information available. Furthermore, by leveraging the efficient hypothesis structure of TPMBM filters, the proposed implementations compare favorably with other MCMC-based multi-object tracking algorithms. Simulation results show that the TPMBM implementation using the Metropolis-Hastings algorithm presents state-of-the-art multiple trajectory estimation performance., Comment: Accepted for publication in IEEE Transactions on Aerospace and Electronic Systems. MATLAB implementation available at https://github.com/yuhsuansia/Batch-TPMBM-using-MCMC-sampling

This paper proposes a metric to measure the dissimilarity between graphs that may have a different number of nodes. The proposed metric extends the generalised optimal subpattern assignment (GOSPA) metric, which is a metric for sets, to graphs. The proposed graph GOSPA metric includes costs associated with node attribute errors for properly assigned nodes, missed and false nodes and edge mismatches between graphs. The computation of this metric is based on finding the optimal assignments between nodes in the two graphs, with the possibility of leaving some of the nodes unassigned. We also propose a lower bound for the metric, which is also a metric for graphs and is computable in polynomial time using linear programming. The metric is first derived for undirected unweighted graphs and it is then extended to directed and weighted graphs. The properties of the metric are demonstrated via simulated and empirical datasets.

This paper proposes a multi-object tracking (MOT) algorithm for traffic monitoring using a drone equipped with optical and thermal cameras. Object detections on the images are obtained using a neural network for each type of camera. The cameras are modelled as direction-of-arrival (DOA) sensors. Each DOA detection follows a von-Mises Fisher distribution, whose mean direction is obtain by projecting a vehicle position on the ground to the camera. We then use the trajectory Poisson multi-Bernoulli mixture filter (TPMBM), which is a Bayesian MOT algorithm, to optimally estimate the set of vehicle trajectories. We have also developed a parameter estimation algorithm for the measurement model. We have tested the accuracy of the resulting TPMBM filter in synthetic and experimental data sets., Comment: accepted in IEEE Transactions on Vehicular Technology

Belief propagation (BP) is a useful probabilistic inference algorithm for efficiently computing approximate marginal probability densities of random variables. However, in its standard form, BP is only applicable to the vector-type random variables with a fixed and known number of vector elements, while certain applications rely on RFSs with an unknown number of vector elements. In this paper, we develop BP rules for factor graphs defined on sequences of RFSs where each RFS has an unknown number of elements, with the intention of deriving novel inference methods for RFSs. Furthermore, we show that vector-type BP is a special case of set-type BP, where each RFS follows the Bernoulli process. To demonstrate the validity of developed set-type BP, we apply it to the PMB filter for SLAM, which naturally leads to new set-type BP-mapping, SLAM, multi-target tracking, and simultaneous localization and tracking filters. Finally, we explore the relationships between the vector-type BP and the proposed set-type BP PMB-SLAM implementations and show a performance gain of the proposed set-type BP PMB-SLAM filter in comparison with the vector-type BP-SLAM filter., Comment: 17 pages, 7 figures

This paper presents a mathematical formulation to perform temporal parallelisation of continuous-time optimal control problems, which are solved via the Hamilton--Jacobi--Bellman (HJB) equation. We divide the time interval of the control problem into sub-intervals, and define a control problem in each sub-interval, conditioned on the start and end states, leading to conditional value functions for the sub-intervals. By defining an associative operator as the minimisation of the sum of conditional value functions, we obtain the elements and associative operators for a parallel associative scan operation. This allows for solving the optimal control problem on the whole time interval in parallel in logarithmic time complexity in the number of sub-intervals. We derive the HJB-type of backward and forward equations for the conditional value functions and solve them in closed form for linear quadratic problems. We also discuss other numerical methods for computing the conditional value functions and present closed form solutions for selected special cases. The computational advantages of the proposed parallel methods are demonstrated via simulations run on a multi-core central processing unit and a graphics processing unit.

This paper shows that the Poisson multi-Bernoulli mixture (PMBM) density is a multi-target conjugate prior for general target-generated measurement distributions and arbitrary clutter distributions. That is, for this multi-target measurement model and the standard multi-target dynamic model with Poisson birth model, the predicted and filtering densities are PMBMs. We derive the corresponding PMBM filtering recursion. Based on this result, we implement a PMBM filter for point-target measurement models and negative binomial clutter density in which data association hypotheses with high weights are chosen via Gibbs sampling. We also implement an extended target PMBM filter with clutter that is the union of Poisson-distributed clutter and a finite number of independent clutter sources. Simulation results show the benefits of the proposed filters to deal with non-standard clutter., Comment: Matlab code available at https://github.com/Agarciafernandez/MTT and https://github.com/yuhsuansia/Extented-target-PMBM-filter-independent-clutter-sources

This paper develops a general trajectory probability hypothesis density (TPHD) filter, which uses a general density for target-generated measurements and is able to estimate trajectories of coexisting point and extended targets. First, we provide a derivation of this general TPHD filter based on finding the best Poisson posterior approximation by minimizing the Kullback-Leibler divergence, without using probability generating functionals. Second, we adopt an efficient implementation of this filter, where Gaussian densities correspond to point targets and Gamma Gaussian Inverse Wishart densities for extended targets. The L-scan approximation is also proposed as a simplified version to mitigate the huge computational cost. Simulation and experimental results show that the proposed filter is able to classify targets correctly and obtain accurate trajectory estimation.

In this paper, we propose a Poisson multi-Bernoulli (PMB) filter for extended object tracking (EOT), which directly estimates the set of object trajectories, using belief propagation (BP). The proposed filter propagates a PMB density on the posterior of sets of trajectories through the filtering recursions over time, where the PMB mixture (PMBM) posterior after the update step is approximated as a PMB. The efficient PMB approximation relies on several important theoretical contributions. First, we present a PMBM conjugate prior on the posterior of sets of trajectories for a generalized measurement model, in which each object generates an independent set of measurements. The PMBM density is a conjugate prior in the sense that both the prediction and the update steps preserve the PMBM form of the density. Second, we present a factor graph representation of the joint posterior of the PMBM set of trajectories and association variables for the Poisson spatial measurement model. Importantly, leveraging the PMBM conjugacy and the factor graph formulation enables an elegant treatment on undetected objects via a Poisson point process and efficient inference on sets of trajectories using BP, where the approximate marginal densities in the PMB approximation can be obtained without enumeration of different data association hypotheses. To achieve this, we present a particle-based implementation of the proposed filter, where smoothed trajectory estimates, if desired, can be obtained via single-object particle smoothing methods, and its performance for EOT with ellipsoidal shapes is evaluated in a simulation study., Comment: Accepted for publication in IEEE Transactions on Aerospace and Electronic Systems. MATLAB implementation available at https://github.com/yuhsuansia/Trajectory-PMB-EOT-BP

This paper provides a comparative analysis between the adaptive birth model used in the labelled random finite set literature and the track initiation in the Poisson multi-Bernoulli mixture (PMBM) filter, with point-target models. The PMBM track initiation is obtained via Bayes' rule applied on the predicted PMBM density, and creates one Bernoulli component for each received measurement, representing that this measurement may be clutter or a detection from a new target. Adaptive birth mimics this procedure by creating a Bernoulli component for each measurement using a different rule to determine the probability of existence and a user-defined single-target density. This paper first provides an analysis of the differences that arise in track initiation based on isolated measurements. Then, it shows that adaptive birth underestimates the number of objects present in the surveillance area under common modelling assumptions. Finally, we provide numerical simulations to further illustrate the differences., Comment: Matlab implementations of PMBM filters can be found at https://github.com/Agarciafernandez/MTT and https://github.com/yuhsuansia

This paper presents a general solution for computing the multi-object posterior for sets of trajectories from a sequence of multi-object (unlabelled) filtering densities and a multi-object dynamic model. Importantly, the proposed solution opens an avenue of trajectory estimation possibilities for multi-object filters that do not explicitly estimate trajectories. In this paper, we first derive a general multi-trajectory backward smoothing equation based on random finite sets of trajectories. Then we show how to sample sets of trajectories using backward simulation for Poisson multi-Bernoulli filtering densities, and develop a tractable implementation based on ranked assignment. The performance of the resulting multi-trajectory particle smoothers is evaluated in a simulation study, and the results demonstrate that they have superior performance in comparison to several state-of-the-art multi-object filters and smoothers., Comment: Accepted for publication in IEEE Transactions on Signal Processing

This paper proposes a clustering and merging approach for the Poisson multi-Bernoulli mixture (PMBM) filter to lower its computational complexity and make it suitable for multiple target tracking with a high number of targets. We define a measurement-driven clustering algorithm to reduce the data association problem into several subproblems, and we provide the derivation of the resulting clustered PMBM posterior density via Kullback-Leibler divergence minimisation. Furthermore, we investigate different strategies to reduce the number of single target hypotheses by approximating the posterior via merging and inter-track swapping of Bernoulli components. We evaluate the performance of the proposed algorithm on simulated tracking scenarios with more than one thousand targets., Comment: 17 pages, 11 figures, journal paper

This paper considers the problem of robust iterative Bayesian smoothing in nonlinear state-space models with additive noise using Gaussian approximations. Iterative methods are known to improve smoothed estimates but are not guaranteed to converge, motivating the development of more robust versions of the algorithms. The aim of this article is to present Levenberg-Marquardt (LM) and line-search extensions of the classical iterated extended Kalman smoother (IEKS) as well as the iterated posterior linearisation smoother (IPLS). The IEKS has previously been shown to be equivalent to the Gauss-Newton (GN) method. We derive a similar GN interpretation for the IPLS. Furthermore, we show that an LM extension for both iterative methods can be achieved with a simple modification of the smoothing iterations, enabling algorithms with efficient implementations. Our numerical experiments show the importance of robust methods, in particular for the IEKS-based smoothers. The computationally expensive IPLS-based smoothers are naturally robust but can still benefit from further regularisation.

This paper proposes a Poisson multi-Bernoulli mixture (PMBM) filter on the space of sets of tree trajectories for multiple target tracking with spawning targets. A tree trajectory contains all trajectory information of a target and its descendants, which appear due to the spawning process. Each tree contains a set of branches, where each branch has trajectory information of a target or one of the descendants and its genealogy. For the standard dynamic and measurement models with multi-Bernoulli spawning, the posterior is a PMBM density, with each Bernoulli having information on a potential tree trajectory. To enable a computationally efficient implementation, we derive an approximate PMBM filter in which each Bernoulli tree trajectory has multi-Bernoulli branches, obtained by minimising the Kullback-Leibler divergence. The resulting filter improves tracking performance of state-of-the-art algorithms in a simulated scenario., Comment: Matlab code can be found at https://github.com/Agarciafernandez

This paper proposes a metric for sets of trajectories to evaluate multi-object tracking algorithms that includes time-weighted costs for localisation errors of properly detected targets, for false targets, missed targets and track switches. The proposed metric extends the metric in [1] by including weights to the costs associated to different time steps. The time-weighted costs increase the flexibility of the metric [1] to fit more applications and user preferences. We first introduce a metric based on multi-dimensional assignments, and then its linear programming relaxation, which is computable in polynomial time and is also a metric. The metrics can also be extended to metrics on random finite sets of trajectories to evaluate and rank algorithms across different scenarios, each with a ground truth set of trajectories., Comment: Matlab code available at https://github.com/Agarciafernandez/MTT (Trajectory metric folder)

This paper presents an analysis on sensor management using a cost function based on a multi-target metric, in particular, the optimal subpattern-assignment (OSPA) metric, the unnormalised OSPA (UOSPA) metric and the generalised OSPA (GOSPA) metric (\alpha=2). We consider the problem of managing an array of sensors, where each sensor is able to observe a region of the surveillance area, not covered by other sensors, with a given sensing cost. We look at the case in which there are far-away, independent potential targets, at maximum one per sensor region. In this set-up, the optimal action using GOSPA is taken for each sensor independently, as we may expect. On the contrary, as a consequence of the spooky effect at a distance in optimal OSPA/UOSPA estimation, the optimal actions for different sensors using OSPA and UOSPA are entangled., Comment: This paper received the 2nd best paper award at the 24th International Conference on Information Fusion. A presentation on the GOSPA metric can be found at https://www.youtube.com/watch?v=M79GTTytvCM

This paper derives the optimal Bayesian processing of an out-of-sequence (OOS) set of measurements in continuous-time for multiple target tracking. We consider a multi-target system modelled in continuous time that is discretised at the time steps when we receive the measurements, which are distributed according to the standard point target model. All information about this system at the sampled time steps is provided by the posterior density on the set of all trajectories. This density can be computed via the continuous-discrete trajectory Poisson multi-Bernoulli mixture (TPMBM) filter. When we receive an OOS measurement, the optimal Bayesian processing performs a retrodiction step that adds trajectory information at the OOS measurement time stamp followed by an update step. After the OOS measurement update, the posterior remains in TPMBM form. We also provide a computationally lighter alternative based on a trajectory Poisson multi-Bernoulli filter. The effectiveness of the two approaches to handle OOS measurements is evaluated via simulations., Comment: Matlab files can be found at https://github.com/Agarciafernandez/MTT

This paper proposes a general formulation for temporal parallelisation of dynamic programming for optimal control problems. We derive the elements and associative operators to be able to use parallel scans to solve these problems with logarithmic time complexity rather than linear time complexity. We apply this methodology to problems with finite state and control spaces, linear quadratic tracking control problems, and to a class of nonlinear control problems. The computational benefits of the parallel methods are demonstrated via numerical simulations run on a graphics processing unit., Comment: To appear in IEEE Transactions on Automatic Control

This paper presents algorithms for parallelization of inference in hidden Markov models (HMMs). In particular, we propose parallel backward-forward type of filtering and smoothing algorithm as well as parallel Viterbi-type maximum-a-posteriori (MAP) algorithm. We define associative elements and operators to pose these inference problems as parallel-prefix-sum computations in sum-product and max-product algorithms and parallelize them using parallel-scan algorithms. The advantage of the proposed algorithms is that they are computationally efficient in HMM inference problems with long time horizons. We empirically compare the performance of the proposed methods to classical methods on a highly parallel graphical processing unit (GPU)., Comment: accepted in the IEEE transactions on Signal Processing

This paper proposes a Poisson multi-Bernoulli mixture (PMBM) filter for coexisting point and extended targets, i.e., for scenarios where there may be simultaneous point and extended targets. The PMBM filter provides a recursion to compute the multi-target filtering posterior based on probabilistic information on data associations, and single-target predictions and updates. In this paper, we first derive the PMBM filter update for a generalised measurement model, which can include measurements originated from point and extended targets. Second, we propose a single-target space that accommodates both point and extended targets and derive the filtering recursion that propagates Gaussian densities for point targets and gamma Gaussian inverse Wishart densities for extended targets. As a computationally efficient approximation of the PMBM filter, we also develop a Poisson multi-Bernoulli (PMB) filter for coexisting point and extended targets. The resulting filters are analysed via numerical simulations., Comment: Matlab files can be found at https://github.com/Agarciafernandez/Coexisting-point-extended-target-PMBM-filter and https://github.com/yuhsuansia/Coexisting-point-extended-target-PMBM-filter. A relevant multi-object tracking course can be found at https://www.youtube.com/channel/UCa2-fpj6AV8T6JK1uTRuFpw

This paper presents a solution for recovering full trajectory information, via the calculation of the posterior of the set of trajectories, from a sequence of multitarget (unlabelled) filtering densities and the multitarget dynamic model. Importantly, the proposed solution opens an avenue of trajectory estimation possibilities for multitarget filters that do not explicitly estimate trajectories. In this paper, we first derive a general multitrajectory forward-backward smoothing equation based on sets of trajectories and the random finite set framework. Then we show how to sample sets of trajectories using backward simulation when the multitarget filtering densities are multi-Bernoulli processes. The proposed approach is demonstrated in a simulation study., Comment: Published in 23rd International Conference on Information Fusion. This arXiv version contains more detailed derivations

This paper presents two trajectory Poisson multi-Bernoulli (TPMB) filters for multi-target tracking: one to estimate the set of alive trajectories at each time step and another to estimate the set of all trajectories, which includes alive and dead trajectories, at each time step. The filters are based on propagating a Poisson multi-Bernoulli (PMB) density on the corresponding set of trajectories through the filtering recursion. After the update step, the posterior is a PMB mixture (PMBM) so, in order to obtain a PMB density, a Kullback-Leibler divergence minimisation on an augmented space is performed. The developed filters are computationally lighter alternatives to the trajectory PMBM filters, which provide the closed-form recursion for sets of trajectories with Poisson birth model, and are shown to outperform previous multi-target tracking algorithms., Comment: Matlab code is provided at https://github.com/Agarciafernandez/MTT

In this paper we introduce spatiotemporal constraints for trajectories, i.e., restrictions that the trajectory must be in some part of the state space (spatial constraint) at some point in time (temporal constraint). Spatiotemporal contraints on trajectories can be used to answer a range of important questions, including, e.g., "where did the person that were in area A at time t, go afterwards?". We discuss how multiple constraints can be combined into sets of constraints, and we then apply sets of constraints to set of trajectories densities, specifically Poisson Multi-Bernoulli Mixture (PMBM) densities. For Poisson target birth, the exact posterior density is PMBM for both point targets and extended targets. In the paper we show that if the unconstrained set of trajectories density is PMBM, then the constrained density is also PMBM. Examples of constrained trajectory densities motivate and illustrate the key results.

For the standard point target model with Poisson birth process, the Poisson Multi-Bernoulli Mixture (PMBM) is a conjugate multi-target density. The PMBM filter for sets of targets has been shown to have state-of-the-art performance and a structure similar to the Multiple Hypothesis Tracker (MHT). In this paper we consider a recently developed formulation of multiple target tracking as a random finite set (RFS) of trajectories, and present three important and interesting results. First, we show that, for the standard point target model, the PMBM density is conjugate also for sets of trajectories. Second, based on this we develop PMBM trackers (trajectory RFS filters) that efficiently estimate the set of trajectories. Third, we establish that for the standard point target model the multi-trajectory density is PMBM for trajectories in any time window, given measurements in any (possibly non-overlapping) time window. In addition, the PMBM trackers are evaluated in a simulation study, and shown to yield state-of-the-art performance., Comment: arXiv admin note: text overlap with arXiv:1812.05131

The Poisson multi-Bernoulli mixture (PMBM) and the multi-Bernoulli mixture (MBM) are two multi-target distributions for which closed-form filtering recursions exist. The PMBM has a Poisson birth process, whereas the MBM has a multi-Bernoulli birth process. This paper considers a recently developed formulation of the multi-target tracking problem using a random finite set of trajectories, through which the track continuity is explicitly established. A multi-scan trajectory PMBM filter and a multi-scan trajectory MBM filter, with the ability to correct past data association decisions to improve current decisions, are presented. In addition, a multi-scan trajectory $\text{MBM}_{01}$ filter, in which the existence probabilities of all Bernoulli components are either 0 or 1, is presented. This paper proposes an efficient implementation that performs track-oriented $N$-scan pruning to limit computational complexity, and uses dual decomposition to solve the involved multi-frame assignment problem. The performance of the presented multi-target trackers, applied with an efficient fixed-lag smoothing method, are evaluated in a simulation study., Comment: Published in Journals of Advances in Information Fusion, Special issue on Multiple Hypothesis Tracking, Volume 14, Number 2, Page 213-235, December 2019. MATLAB code is available at https://github.com/yuhsuansia/Multi-scan-trajectory-PMBM-filter

The Poisson multi-Bernoulli mixture (PMBM) is a multi-target distribution for which the prediction and update are closed. By applying the random finite set (RFS) framework to multi-target tracking with sets of trajectories as the variable of interest, the PMBM trackers can efficiently estimate the set of target trajectories. This paper derives two trajectory RFS filters for extended target tracking, called extended target PMBM trackers. Compared to the extended target PMBM filter based on sets on targets, explicit track continuity between time steps is provided in the extended target PMBM trackers., Comment: MATLAB code is available at https://github.com/yuhsuansia/Extended-Target-PMBM-Tracker. arXiv admin note: text overlap with arXiv:1812.05131

In this paper, we show the spooky effect at a distance that arises in optimal estimation of multiple targets with the optimal sub-pattern assignment (OSPA) metric. This effect refers to the fact that if we have several independent potential targets at distant locations, a change in the probability of existence of one of them can completely change the optimal estimation of the rest of the potential targets. As opposed to OSPA, the generalised OSPA (GOSPA) metric ($\alpha=2$) penalises localisation errors for properly detected targets, false targets and missed targets. As a consequence, optimal GOSPA estimation aims to lower the number of false and missed targets, as well as the localisation error for properly detected targets, and avoids the spooky effect., Comment: This paper received the third best paper award at the 22nd International Conference on Information Fusion, Ottawa, Canada, 2019. Matlab code of the GOSPA metric can be found in https://github.com/abusajana/GOSPA . Additional information on MTT can be found in the online course https://www.youtube.com/channel/UCa2-fpj6AV8T6JK1uTRuFpw

This paper presents the Gaussian implementation of the multi-Bernoulli mixture (MBM) filter. The MBM filter provides the filtering (multi-target) density for the standard dynamic and radar measurement models when the birth model is multi-Bernoulli or multi-Bernoulli mixture. Under linear/Gaussian models, the single target densities of the MBM mixture admit Gaussian closed-form expressions. Murty's algorithm is used to select the global hypotheses with highest weights. The MBM filter is compared with other algorithms in the literature via numerical simulations., Comment: Matlab code of the MBM and PMBM filters is provided in https://github.com/Agarciafernandez/MTT . Additional information on MTT including PMBM and MBM filters can be found in the online course https://www.youtube.com/channel/UCa2-fpj6AV8T6JK1uTRuFpw

This paper presents algorithms for temporal parallelization of Bayesian smoothers. We define the elements and the operators to pose these problems as the solutions to all-prefix-sums operations for which efficient parallel scan-algorithms are available. We present the temporal parallelization of the general Bayesian filtering and smoothing equations and specialize them to linear/Gaussian models. The advantage of the proposed algorithms is that they reduce the linear complexity of standard smoothing algorithms with respect to time to logarithmic.

The Poisson multi-Bernoulli mixture (PMBM) is an unlabelled multi-target distribution for which the prediction and update are closed. It has a Poisson birth process, and new Bernoulli components are generated on each new measurement as a part of the Bayesian measurement update. The PMBM filter is similar to the multiple hypothesis tracker (MHT), but seemingly does not provide explicit continuity between time steps. This paper considers a recently developed formulation of the multi-target tracking problem as a random finite set (RFS) of trajectories, and derives two trajectory RFS filters, called PMBM trackers. The PMBM trackers efficiently estimate the set of trajectories, and share hypothesis structure with the PMBM filter. By showing that the prediction and update in the PMBM filter can be viewed as an efficient method for calculating the time marginals of the RFS of trajectories, continuity in the same sense as MHT is established for the PMBM filter.

This paper proposes an efficient implementation of the Poisson multi-Bernoulli mixture (PMBM) trajectory filter. The proposed implementation performs track-oriented N-scan pruning to limit complexity, and uses dual decomposition to solve the involved multi-frame assignment problem. In contrast to the existing PMBM filter for sets of targets, the PMBM trajectory filter is based on sets of trajectories which ensures that track continuity is formally maintained. The resulting filter is an efficient and scalable approximation to a Bayes optimal multi-target tracking algorithm, and its performance is compared, in a simulation study, to the PMBM target filter, and the delta generalized labelled multi-Bernoulli filter, in terms of state/trajectory estimation error and computational time., Comment: 8 pages, 2018 21st International Conference on Information Fusion (FUSION)

This paper presents the probability hypothesis density filter (PHD) and the cardinality PHD (CPHD) filter for sets of trajectories, which are referred to as the trajectory PHD (TPHD) and trajectory CPHD (TCPHD) filters. Contrary to the PHD/CPHD filters, the TPHD/TCPHD filters are able to produce trajectory estimates from first principles. The TPHD filter is derived by recursively obtaining the best Poisson multitrajectory density approximation to the posterior density over the alive trajectories by minimising the Kullback-Leibler divergence. The TCPHD is derived in the same way but propagating an independent identically distributed (IID) cluster multitrajectory density approximation. We also propose the Gaussian mixture implementations of the TPHD and TCPHD recursions, the Gaussian mixture TPHD (GMTPHD) and the Gaussian mixture TCPHD (GMTCPHD), and the L-scan computationally efficient implementations, which only update the density of the trajectory states of the last L time steps., Comment: MATLAB implementations are provided here: https://github.com/Agarciafernandez/MTT

This paper proposes a new algorithm for Gaussian process classification based on posterior linearisation (PL). In PL, a Gaussian approximation to the posterior density is obtained iteratively using the best possible linearisation of the conditional mean of the labels and accounting for the linearisation error. PL has some theoretical advantages over expectation propagation (EP): all calculated covariance matrices are positive definite and there is a local convergence theorem. In experimental data, PL has better performance than EP with the noisy threshold likelihood and the parallel implementation of the algorithms., Comment: \'A. F. Garc\'ia-Fern\'andez, F. Tronarp and S. S\"arkk\"a, "Gaussian Process Classification Using Posterior Linearization," in IEEE Signal Processing Letters, vol. 26, no. 5, pp. 735-739, May 2019

The Poisson multi-Bernoulli mixture (PMBM) is a multi-object conjugate prior for the closed-form Bayes random finite sets filter. The extended object PMBM filter provides a closed-form solution for multiple extended object filtering with standard models. This paper considers computationally lighter alternatives to the extended object PMBM filter by propagating a Poisson multi-Bernoulli (PMB) density through the filtering recursion. A new local hypothesis representation is presented where each measurement creates a new Bernoulli component. This facilitates the developments of methods for efficiently approximating the PMBM posterior density after the update step as a PMB. Based on the new hypothesis representation, two approximation methods are presented: one is based on the track-oriented multi-Bernoulli (MB) approximation, and the other is based on the variational MB approximation via Kullback-Leibler divergence minimisation. The performance of the proposed PMB filters with gamma Gaussian inverse-Wishart implementations are evaluated in a simulation study., Comment: Accepted for publication in IEEE T-AES

The iterated posterior linearization filter (IPLF) is an algorithm for Bayesian state estimation that performs the measurement update using iterative statistical regression. The main result behind IPLF is that the posterior approximation is more accurate when the statistical regression of measurement function is done in the posterior instead of the prior as is done in non-iterative Kalman filter extensions. In IPLF, each iteration in principle gives a better posterior estimate to obtain a better statistical regression and more accurate posterior estimate in the next iteration. However, IPLF may diverge. IPLF's fixed- points are not described as solutions to an optimization problem, which makes it challenging to improve its convergence properties. In this letter, we introduce a double-loop version of IPLF, where the inner loop computes the posterior mean using an optimization algorithm. Simulation results are presented to show that the proposed algorithm has better convergence than IPLF and its accuracy is similar to or better than other state-of-the-art algorithms.

We provide a derivation of the Poisson multi-Bernoulli mixture (PMBM) filter for multi-target tracking with the standard point target measurements without using probability generating functionals or functional derivatives. We also establish the connection with the \delta-generalised labelled multi-Bernoulli (\delta-GLMB) filter, showing that a \delta-GLMB density represents a multi-Bernoulli mixture with labelled targets so it can be seen as a special case of PMBM. In addition, we propose an implementation for linear/Gaussian dynamic and measurement models and how to efficiently obtain typical estimators in the literature from the PMBM. The PMBM filter is shown to outperform other filters in the literature in a challenging scenario.

We propose a solution of the multiple target tracking (MTT) problem based on sets of trajectories and the random finite set framework. A full Bayesian approach to MTT should characterise the distribution of the trajectories given the measurements, as it contains all information about the trajectories. We attain this by considering multi-object density functions in which objects are trajectories. For the standard tracking models, we also describe a conjugate family of multitrajectory density functions., Comment: MATLAB implementations of algorithms based on sets of trajectories can be found at https://github.com/Agarciafernandez

This paper presents the probability hypothesis density (PHD) filter for sets of trajectories: the trajectory probability density (TPHD) filter. The TPHD filter is capable of estimating trajectories in a principled way without requiring to evaluate all measurement-to-target association hypotheses. The TPHD filter is based on recursively obtaining the best Poisson approximation to the multitrajectory filtering density in the sense of minimising the Kullback-Leibler divergence. We also propose a Gaussian mixture implementation of the TPHD recursion. Finally, we include simulation results to show the performance of the proposed algorithm., Comment: Published in the Proceedings of the 21st International Conference on Information Fusion (FUSION)

In this paper, we propose a metric on the space of finite sets of trajectories for assessing multi-target tracking algorithms in a mathematically sound way. The main use of the metric is to compare estimates of trajectories from different algorithms with the ground truth of trajectories. The proposed metric includes intuitive costs associated to localization error for properly detected targets, missed and false targets and track switches at each time step. The metric computation is based on solving a multi-dimensional assignment problem. We also propose a lower bound for the metric, which is also a metric for sets of trajectories and is computable in polynomial time using linear programming. We also extend the proposed metrics on sets of trajectories to random finite sets of trajectories., Comment: Matlab code for the metric is available at https://github.com/Agarciafernandez/MTT

This paper presents a multitarget tracking particle filter (PF) for general track-before-detect measurement models. The PF is presented in the random finite set framework and uses a labelled multi-Bernoulli approximation. We also present a label switching improvement algorithm based on Markov chain Monte Carlo that is expected to increase filter performance if targets get in close proximity for a sufficiently long time. The PF is tested in two challenging numerical examples., Comment: Accepted for publication in IEEE Transactions on Aerospace and Electronic Systems

Kalman filtering is a widely used framework for Bayesian estimation. The partitioned update Kalman filter applies a Kalman filter update in parts so that the most linear parts of measurements are applied first. In this paper, we generalize partitioned update Kalman filter, which requires the use oft the second order extended Kalman filter, so that it can be used with any Kalman filter extension. To do so, we use a Kullback-Leibler divergence approach to measure the nonlinearity of the measurement, which is theoretically more sound than the nonlinearity measure used in the original partitioned update Kalman filter. Results show that the use of the proposed partitioned update filter improves the estimation accuracy.

This paper presents the generalized optimal sub-pattern assignment (GOSPA) metric on the space of finite sets of targets. Compared to the well-established optimal sub-pattern assignment (OSPA) metric, GOSPA is unnormalized as a function of the cardinality and it penalizes cardinality errors differently, which enables us to express it as an optimisation over assignments instead of permutations. An important consequence of this is that GOSPA allows us to penalize localization errors for detected targets and the errors due to missed and false targets, as indicated by traditional multiple target tracking (MTT) performance measures, in a sound manner. In addition, we extend the GOSPA metric to the space of random finite sets, which is important to evaluate MTT algorithms via simulations in a rigorous way., Comment: The paper received the Jean Pierre Le Cadre best paper award at the 20th International Conference on Information Fusion, July 2017. A Matlab implementation of the proposed GOSPA metric is available in https://github.com/abusajana/GOSPA Also visit https://youtu.be/M79GTTytvCM for a 15-min presentation about the paper

The evaluation of multiple target tracking algorithms with labelled sets can be done using the labelled optimal subpattern assignment (LOSPA) metric. In this paper, we provide the expression of the same metric for fixed and known number of targets when vector notation is used.