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Improving the particle filter in high dimensions using conjugate artificial process noise
Uppsala universitet, Avdelningen för systemteknik, Sweden.
Uppsala universitet, Avdelningen för systemteknik, Sweden.
Uppsala universitet, Avdelningen för systemteknik, Sweden.
2018 (English)In: 18th IFAC Symposium on System IdentificationSYSID 2018 Proceedings, Elsevier, 2018, Vol. 51, p. 670-675Conference paper, Published paper (Refereed)
Abstract [en]

The particle filter is one of the most successful methods for state inference and identification of general non-linear and non-Gaussian models. However, standard particle filters suffer from degeneracy of the particle weights, in particular for high-dimensional problems. We propose a method for improving the performance of the particle filter for certain challenging state space models, with implications for high-dimensional inference. First we approximate the model by adding artificial process noise in an additional state update, then we design a proposal that combines the standard and the locally optimal proposal. This results in a bias-variance trade-off, where adding more noise reduces the variance of the estimate but increases the model bias. The performance of the proposed method is empirically evaluated on a linear-Gaussian state space model and on the non-linear Lorenz'96 model. For both models we observe a significant improvement in performance over the standard particle filter.

Place, publisher, year, edition, pages
Elsevier, 2018. Vol. 51, p. 670-675
Series
IFAC-PapersOnLine, ISSN 2405-8963 ; 51:15
Keywords [en]
Data assimilation, Sequential Monte Carlo, Estimation, filtering, State-space models, Nonlinear system identification
National Category
Control Engineering Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-159806DOI: 10.1016/j.ifacol.2018.09.207ISI: 000446599200114OAI: oai:DiVA.org:liu-159806DiVA, id: diva2:1344813
Conference
SYSID 2018, July 9–11, Stockholm, Sweden
Funder
Swedish Foundation for Strategic Research , RIT15-0012Swedish Research Council, 2016-04278Swedish Foundation for Strategic Research , ICA16-0015Available from: 2019-08-22 Created: 2019-08-22 Last updated: 2019-08-23

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Wigren, AnnaMurray, LawrenceLindsten, Fredrik

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf