Exact Closed-Form Multitarget Bayes Filters

The finite-set statistics (FISST) foundational approach to multitarget tracking and information fusion has inspired work by dozens of research groups in at least 20 nations; and FISST publications have been cited tens of thousands of times. This review paper addresses a recent and cutting-edge aspect of this research: exact closed-form—and, therefore, provably Bayes-optimal—approximations of the multitarget Bayes filter. The five proposed such filters—generalized labeled multi-Bernoulli (GLMB), labeled multi-Bernoulli mixture (LMBM), and three Poisson multi-Bernoulli mixture (PMBM) filter variants—are assessed in depth. This assessment includes a theoretically rigorous, but intuitive, statistical theory of “undetected targets”, and concrete formulas for the posterior undetected-target densities for the “standard” multitarget measurement model.