skip to main content
10.1145/3271553.3271587acmotherconferencesArticle/Chapter ViewAbstractPublication PagesicvispConference Proceedingsconference-collections
research-article

Gaussian Reciprocal Sequences from the Viewpoint of Conditionally Markov Sequences

Published: 27 August 2018 Publication History

Abstract

The conditionally Markov (CM) sequence contains several classes, including the reciprocal sequence. Reciprocal sequences have been widely used in many areas of engineering, including image processing, acausal systems, intelligent systems, and intent inference. In this paper, the reciprocal sequence is studied from the CM sequence point of view, which is different from the viewpoint of the literature and leads to more insight into the reciprocal sequence. Based on this viewpoint, new results, properties, and easily applicable tools are obtained for the reciprocal sequence. The nonsingular Gaussian (NG) reciprocal sequence is modeled and characterized from the CM viewpoint. It is shown that a NG sequence is reciprocal if and only if it is both CML and CMF (two special classes of CM sequences). New dynamic models are presented for the NG reciprocal sequence. These models (unlike the existing one, which is driven by colored noise) are driven by white noise and are easily applicable. As a special reciprocal sequence, the Markov sequence is also discussed. Finally, it can be seen how all CM sequences, including Markov and reciprocal, are unified.

References

[1]
B. Levy and A. J. Krener. Dynamics and Kinematics of Reciprocal Diffusions, Journal of Mathematical Physics. Vol. 34, No. 5, pp. 1846--1875, 1993.
[2]
B. Levy and A. J. Krener. Stochastic Mechanics of Reciprocal Diffusions. Journal of Mathematical Physics. Vol. 37, No. 2, pp. 769--802, 1996.
[3]
A. Chiuso, A. Ferrante, and G. Picci. Reciprocal Realization and Modeling of Textured Images. 44th IEEE Conference on Decision and Control, Seville, Spain, Dec. 2005.
[4]
G. Picci and F. Carli. Modelling and Simulation of Images by Reciprocal Processes. Tenth International Conference on Computer Modeling and Simulation, Cambridge, UK, Apr. 2008.
[5]
M. Fanaswala, V. Krishnamurthy, and L. B. White. Destination-aware Target Tracking via Syntactic Signal Processing. IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), Prague, Czech Republic, May 2011.
[6]
M. Fanaswala and V. Krishnamurthy. Detection of Anomalous Trajectory Patterns in Target Tracking via Stochastic Context-Free Grammer and Reciprocal Process Models. IEEE Journal of Selected Topics in Signal Processing, Vol. 7, No. 1, pp. 76--90, 2013.
[7]
B. I. Ahmad, J. K. Murphy, S. J. Godsill, P. M. Langdon, and R. Hardy. Intelligent Interactive Displays in Vehicles with Intent Prediction: A Bayesian framework. IEEE Signal Processing Magazine, Vol. 34, No. 2, 2017.
[8]
R. Rezaie and X. R. Li. Destination-Directed Trajectory Modeling, Filtering, and Prediction Using Conditionally Markov Sequences. IEEE Western New York Image and Signal Processing Workshop. Rochester, Oct. 2018.
[9]
R. Rezaie and X. R. Li. Trajectory Modeling and Prediction with Waypoint Information Using a Conditionally Markov Sequence. 56th Allerton Conference on Communication, Control, and Computing, Illinois, Oct. 2018.
[10]
A. J. Krener. Reciprocal Processes and the Stochastic Realization Problem for Acausal Systems. Modeling, Identification, and Robust Control, C. I. Byrnes and A. Lindquist (editors), Elsevier, 1986.
[11]
C. B. Mehr and J. A. McFadden, Certain Properties of Gaussian Processes and their First-Passage Times. Journal of Royal Statistical Society (B), Vol. 27, pp. 505--522, 1965.
[12]
J. Abraham and J. Thomas. Some Comments on Conditionally Markov and Reciprocal Gaussian Processes. IEEE Trans. on Information Theory. Vol. 27, No. 4, July 1981.
[13]
R. Rezaie and X. R. Li. Nonsingular Gaussian Conditionally Markov Sequences. IEEE Western New York Image and Signal Processing Workshop. Rochester, Oct. 2018.
[14]
J-P Carmichael, J-C Masse, and R. Theodorescu. Representations for Multivariate Reciprocal Gaussian Processes. IEEE Trans. on Information Theory, Vol. 34, No. 1, pp. 155--157, 1988.
[15]
J-P Carmichael, J-C Masse, and R. Theodorescu. Multivariate Reciprocal Stationary Gaussian Processes. Journal of Multivariate Analysis, 23, pp. 47--66, 1987.
[16]
S. Bernstein. Sur les liaisons entre les grandeurs aleatoires. Verh. des intern. Mathematikerkongr I, Zurich, 1932.
[17]
E. Schrodinger. Uber die Umkehrung der Naturgesetze. Sitz. Ber. der Preuss. Akad. Wissen., Berlin Phys. Math. 144, 1931.
[18]
E. Schrodinger. Theorie relativiste de l'electron et l'interpretation de la mechanique quantique. Ann. Inst. H. Poincare 2, 269--310, 1932.
[19]
D. Slepian. First Passage Time for a Particular Gaussian Process. Annals of Mathematical Statistics, Vol. 32, pp. 610--612, 1961.
[20]
B. Jamison. Reciprocal Processes: The Stationary Gaussian Case. Annals of Mathematical Statistics, Vol. 41, No. 5, pp. 1624--1630, 1970.
[21]
S. C. Chay, On Quasi-Markov Random Fields, Journal of Multivariate Analysis, Vol 2, pp. 14--76, 1972.
[22]
J-P Carmichael, J-C Masse, and R. Theodorescu, Processus Gaussiens Stationnaires Reciproques sur un Intervalle, C. R. Acad. Sc. Paris, t. 295 (27 Sep. 1982).
[23]
B. Jamison. Reciprocal Processes. Z. Wahrscheinlichkeitstheorie verw. Gebiete, vol. 30, pp. 65--86, 1974.
[24]
A. J. Krener. Reciprocal Diffusions and Stochastic Differential Equations of Second Order. Stochastics, Vol. 24, No. 4, pp. 393--422, 1988.
[25]
A. J. Krener, R. Frezza, and B. C. Levy. Gaussian Reciprocal Processes and Self-adjoint Stochastic Differential Equations of Second Order. Stochastics and Stochastic Reports, Vol. 34, No. 1--2, pp. 29--56, 1991.
[26]
B. C. Levy, A. Beghi, Discrete-time Gauss-Markov Processes with Fixed Reciprocal Dynamics. Journal of Mathematical Systems, Estimation, and Control, Vol. 4, No. 3, pp. 1--25, 1994.
[27]
A. Beghi, Continuous-time Gauss-Markov Processes with Fixed Reciprocal Dynamics. Journal of Mathematical Systems, Estimation, and Control, Vol. 4, No. 4, pp. 1--24, 1994.
[28]
J. Chen and H. L. Weinert, A New Characterization of Multivariate Gaussian Reciprocal Processes. IEEE Trans. on Automatic Control, Vol. 38, No. 10, pp. 1601--1602, 1993.
[29]
F. Carravetta and L. B. White. Modelling and Estimation for Finite State Reciprocal Processes. IEEE Trans. on Automatic Control, Vol. 57, No. 9, pp. 2190--2202, 2012.
[30]
F. Carravetta. Nearest-neighbour Modelling of Reciprocal Chains. An International Journal of Probability and Stochastic Processes, Vol. 80, No. 6, pp. 525--584, 2008.
[31]
L. B. White and F. Carravetta. Optimal Smoothing for Finite State Hidden Reciprocal Processes. IEEE Trans. on Automatic Control, Vol. 56, No. 9, pp. 2156--2161, 2011.
[32]
L B. White and H. X. Vu. Maximum Likelihood Sequence Estimation for Hidden Reciprocal Processes. IEEE Trans. on Automatic Control, Vol. 58, No. 10, pp. 2670--2674, 2013.
[33]
E. Baccarelli and R. Cusani. Recursive Filtering and Smoothing for Gaussian Reciprocal Processes with Dirichlet Boundary Conditions. IEEE Trans. on Signal Processing, Vol. 46, No. 3, pp. 790--795, 1998.
[34]
E. Baccarelli, R. Cusani, and G. Di Blasio. Recursive filtering and smoothing for reciprocal Gaussian processes-pinned boundary case. IEEE Trans. on Information Theory, Vol. 41, No. 1, pp. 334--337, 1995.
[35]
B. C. Levy, R. Frezza, and A. Krener. Modeling and Estimation of Discrete-Time Gaussian Reciprocal Processes. IEEE Trans. on Automatic Control. Vol. 35, No. 9, pp. 1013--1023, 1990.
[36]
D. Vats and J. M. F. Moura. Recursive Filtering and Smoothing for Discrete Index Gaussian Reciprocal Processes. 43rd Annual Conference on Information Sciences and Systems, Baltimore, MD, USA, Mar. 2009.
[37]
R. Rezaie and X. R. Li. Models and Representations of Gaussian Reciprocal and Conditionally Markov Sequences. International Conference on Vision, Image and Signal Processing (ICVISP), Las Vegas, Aug. 2018.
[38]
R. Rezaie and X. R. Li. Gaussian Conditionally Markov Sequences: Reciprocal Sequences. To be submitted.
[39]
R. Ackner, T. Kailath. Discrete-Time Complementary Models and Smoothing. International Journal of Control, Vol. 49, No. 5, pp. 1665--1682, May 1989.

Cited By

View all
  • (2021)Conditionally Markov Modeling and Optimal Estimation for Trajectory With Waypoints and DestinationIEEE Transactions on Aerospace and Electronic Systems10.1109/TAES.2021.307553357:4(2006-2020)Online publication date: Aug-2021
  • (2021)Destination-Directed Trajectory Modeling, Filtering, and Prediction Using Conditionally Markov SequencesIEEE Transactions on Aerospace and Electronic Systems10.1109/TAES.2020.303183657:2(820-833)Online publication date: Apr-2021
  • (2021)Gaussian conditionally Markov sequencesAutomatica (Journal of IFAC)10.1016/j.automatica.2021.109780131:COnline publication date: 1-Sep-2021
  • Show More Cited By

Recommendations

Comments

Information & Contributors

Information

Published In

cover image ACM Other conferences
ICVISP 2018: Proceedings of the 2nd International Conference on Vision, Image and Signal Processing
August 2018
402 pages
ISBN:9781450365291
DOI:10.1145/3271553
Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than the author(s) must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected].

Publisher

Association for Computing Machinery

New York, NY, United States

Publication History

Published: 27 August 2018

Permissions

Request permissions for this article.

Check for updates

Author Tags

  1. Conditionally Markov (CM) sequence
  2. Gaussian sequence
  3. Markov sequence
  4. characterization
  5. dynamic model
  6. reciprocal sequence

Qualifiers

  • Research-article
  • Research
  • Refereed limited

Conference

ICVISP 2018

Acceptance Rates

Overall Acceptance Rate 186 of 424 submissions, 44%

Contributors

Other Metrics

Bibliometrics & Citations

Bibliometrics

Article Metrics

  • Downloads (Last 12 months)1
  • Downloads (Last 6 weeks)0
Reflects downloads up to 08 Mar 2025

Other Metrics

Citations

Cited By

View all
  • (2021)Conditionally Markov Modeling and Optimal Estimation for Trajectory With Waypoints and DestinationIEEE Transactions on Aerospace and Electronic Systems10.1109/TAES.2021.307553357:4(2006-2020)Online publication date: Aug-2021
  • (2021)Destination-Directed Trajectory Modeling, Filtering, and Prediction Using Conditionally Markov SequencesIEEE Transactions on Aerospace and Electronic Systems10.1109/TAES.2020.303183657:2(820-833)Online publication date: Apr-2021
  • (2021)Gaussian conditionally Markov sequencesAutomatica (Journal of IFAC)10.1016/j.automatica.2021.109780131:COnline publication date: 1-Sep-2021
  • (2020)Gaussian Conditionally Markov Sequences: Algebraically Equivalent Dynamic ModelsIEEE Transactions on Aerospace and Electronic Systems10.1109/TAES.2019.295118856:3(2390-2405)Online publication date: Jun-2020
  • (2020)Gaussian Conditionally Markov Sequences: Singular/NonsingularIEEE Transactions on Automatic Control10.1109/TAC.2019.294436365:5(2286-2293)Online publication date: May-2020
  • (2020)Mathematical Modeling and Optimal Inference of Guided Markov-Like Trajectory2020 IEEE International Conference on Multisensor Fusion and Integration for Intelligent Systems (MFI)10.1109/MFI49285.2020.9235241(26-31)Online publication date: 14-Sep-2020
  • (2019)Markov and Conditionally Markov Processes: from Gaussian to Elliptical2019 22th International Conference on Information Fusion (FUSION)10.23919/FUSION43075.2019.9011274(1-8)Online publication date: Jul-2019
  • (2018)Models and Representations of Gaussian Reciprocal and Conditionally Markov SequencesProceedings of the 2nd International Conference on Vision, Image and Signal Processing10.1145/3271553.3271598(1-6)Online publication date: 27-Aug-2018

View Options

Login options

View options

PDF

View or Download as a PDF file.

PDF

eReader

View online with eReader.

eReader

Figures

Tables

Media

Share

Share

Share this Publication link

Share on social media