Condensation—Conditional Density Propagation for Visual Tracking 9
Figure 3. Factored sampling: a set of points s
(n)
, the centres of the blobs in the figure, is sampled randomly from a prior density p(x). Each
sample is assigned a weight π
i
(depicted by blob area) in proportion to the value of the observation density p(z |x = s
(n)
). The weighted
point-set then serves as a representation of the posterior density p(x |z), suitable for sampling. The one-dimensional case illustrated here extends
naturally to the practical case that the density is defined over several position and shape variables.
n ∈{1,...,N}is chosen with probability π
n
, where
π
n
=
p
z
¡
s
(n)
¢
P
N
j=1
p
z
¡
s
( j)
¢
and
p
z
(x) = p(z |x),
the conditional observation density. The value x
0
= x
n
chosen in this fashion has a distribution which approx-
imates the posterior p(x |z) increasingly accurately as
N increases (Fig. 3).
Note that posterior mean properties E [g(x) |z] can
begenerateddirectlyfromthesamples{s
(n)
}byweight-
ing with p
z
(x) to give:
E[g(x) |z] ≈
P
N
n=1
g
¡
s
(n)
¢
p
z
¡
s
(n)
¢
P
N
n=1
p
z
¡
s
(n)
¢
. (7)
Forexample, themeancanbeestimatedusing g(x) = x
(illustrated in Fig. 4) and the variance using g(x) =
xx
T
. In the case that p(x) is a spatial Gauss-Markov
process, Gibbs sampling from p(x) has been used
to generate the random variates {s
(1)
,...,s
(N)
}. Oth-
erwise, for low-dimensional parameterisations as in
this paper, standard, direct methods can be used for
Gaussians
2
(Press et al., 1988). Note that, in the case
that the density p(z |x) is normal, the mean obtained
by factored sampling is consistent with an estimate ob-
tained more conventionally, and efficiently, from linear
least squaresestimation. For multi-modal distributions
which cannot be approximated as normal, so that linear
estimators are unusable, estimates of mean x by fac-
tored sampling continue to apply.
4. The C
ONDENSATION Algorithm
The Condensation algorithm is based on factored
samplingbutextendedtoapplyiteratively to successive
images in a sequence. The same sampling strategy
has been developed elsewhere (Gordon, et al., 1993;
Kitagawa,1996), presentedasdevelopments ofMonte-
Carlo methods. Jump-diffusion tracking (Miller et al.,
1995) may also be related to the approach described
here.
Given that the process at each time-step is a self-
contained iteration of factored sampling, the out-
put of an iteration will be a weighted, time-stamped
sample-set, denoted {s
(n)
t
, n = 1,...,N}with weights
π
(n)
t
, representing approximately the conditional state-
density p(x
t
|Z
t
) at time t. How is this sample-set
obtained? Clearly, the process must begin with a prior
density and the effective prior for time-step t should
be p(x
t
|Z
t−1
). This prior is of course multi-modal in
general and no functional representation of it is avail-
able. It is derived from the sample set representation
{(s
(n)
t−1
,π
(n)
t−1
), n = 1,...,N} of p(x
t−1
|Z
t−1
), the
output from the previous time-step, to which predic-
tion (5) must then be applied.
The iterative process as applied to sample-sets, de-
picted in Fig. 5, mirrors the continuous diffusion pro-
cess in Fig. 2. At the top of the diagram, the out-
put from time-step t − 1 is the weighted sample-set
{(s
(n)
t−1
,π
(n)
t−1
), n = 1,...,N}. The aim is to maintain,
at successive time-steps, sample sets of fixed size N,