Ian Reid Hilary Term 2003 Copies from http://www.robots.ox.ac.uk/ ian/Teaching/Estimation Bugs to ian.reid@eng.ox.ac.

uk

APPLIED ESTIMATION I 1. Joint probabilities for the discrete random variables

   

are given by   
0.2 0.09 0.02 0.06 0.07 0.1 0.12 0.08 0.06 0.01 0.09 0.1

(a) Check the normalisation of the joint distribution (b) Compute the marginal probability distributions for

. # "   %  $ (c) Compute the conditional distribution ! &'(" )$ using only information in the previous 2 (d) Use Bayes rule to compute ! parts; then check the answer by direct calculation from the table above. 2. are normally distributed with means and (a) If the independent continuous variables variances , derive the distribution of their sum (Hint: Consider the moment generating function (Characteristic function) of the random variables)

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(b) Now suppose that those variables are no longer independent but have correlation coefcient . Find the covariance and information matrices of the vector variable . Write down the joint density function including the normalisation constant.

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3.

WBX 0 3 " 0 1Y and the conditional variance `aX 0 3 " 0 1 Y? 4. The data of question 1 could be taken as characterising a noisy sensor with output , intended to measure a state . b has been taken, what is the MLE for ? (a) Given that a measurement @" dce$ are as in part a) but prior probabilities (b) Now, if conditional probabilities ! are as follows: ! f$ghpiqr ! %$ghsi tp ! ub)$ghsi  nd the MAP estimate for . 7@A%D measuring a state 0 which are unbiased and 5. Independent sensors have outputs vw1 vx3 8 y@ . normally distributed with standard deviation 6 (a) Derive the maximum likelihood estimate of 0 given single measurements vw1 vx3 from
(b) What are the conditional mean each sensor. 1

(a) Find the conditional density function normalisation constant.

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for the problem above, including the

(b) If also the state itself is known to have a prior distribution that is normal is the posterior density for ? (c) If, instead, the prior density is given by the exponential distribution

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what

$ h h e S 0 d9e0 TyQ0 $BB gf9h ji and only a single sensor reading vw1 is made, what is the MAP estimate for 0 ? 8 3 hsi  0 kghsy8 bhsi sl8 1 b 0 v 1 ghsi t v 3 xri hpi vx3 0
and that the sensor readings are

(d) Suppose in part b) that

What is the MAP estimate for , based on these data? (e) Apply validation tests to and and show that one sensor fails and the other passes. (f) What now is the MAP estimate for in b), given only the validated sensor reading?

vw1

6. Consider a surveillance system that uses a video camera to track vehicle travelling down a steep ramp into a car park. Vehicle position at timestep is cm and from the th to the th time step the position of a vehicle is assumed to change by a random displacement whose mean is and whose variance is

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m P7n

m!

o hsiphpiq hsiphpi sr

o gh%h o fh gh gh%hdrutvsw fhxwhdr kfhh time-steps? what is the probability distribution after m (b) Now a two-dimensional measurement y)1 of vehicle position is made that is unbiased and with a random error that is normal and isotropic ie such that its standard deviation in Qz hp9{%hh)$ R what any direction is constant and the value of that s.d. is 10 cm. If y)1 now is the posterior distribution for the vehicles position? gh timesteps, a second measurement is to be made. What is the effective (c) After a further prior density for P , just before making the new measurement? '|}h%h is made by a different sensor that is one-dimensional, (d) The second measurement vf3  measuring distance in the ~ direction only. It is a biased sensor that under-reads by cm
and has random error with s.d. 5cm. What now is the posterior density of the position? (e) Write a matlab function that would plot each of these distributions as covariance ellipses (and plot them, if you like). 7. Data

(a) If the initial mean and covariance of the vehicles position (at time

m h ) are

n9  n $B hpDh%$ %x$ rgi %$ sDriqt$  is given in which the variance associated with the n is 8 n3 8 3 constant for all m .
2

(a) Use the recursive least-squares algorithm to t a linear function to the data. (b) Compare your result with the batch algorithm that uses the pseudo-inverse of the Vandermonde matrix (see Engineering Computation 2nd year notes).

Answers
2. b)

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5. c)

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and

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a) Normal

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6.

P  $ P  $ P  $

with

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b) Normal

with

c) Normal

with

d) Normal

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.

with

7. a)

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