A Basic Convergence Result for Particle Filtering
2007 (English)In: Proceedings of the 7th IFAC Symposium on Nonlinear Control Systems, 2007, 288-293 p.Conference paper (Refereed)
The basic nonlinear filtering problem for dynamical systems is considered. Approximating the optimal filter estimate by particle filter methods has become perhaps the most common and useful method in recent years. Many variants of particle filters have been suggested, and there is an extensive literature on the theoretical aspects of the quality of the approximation. Still, a clear cut result that the approximate solution, for unbounded functions, converges to the true optimal estimate as the number of particles tends to infinity seems to be lacking. It is the purpose of this contribution to give such a basic convergence result.
Place, publisher, year, edition, pages
2007. 288-293 p.
Nonlinear filters, Particle filter, Convergence, Dynamic systems
Engineering and Technology Control Engineering
IdentifiersURN: urn:nbn:se:liu:diva-38860DOI: 10.3182/20070822-3-ZA-2920.00048Local ID: 45908ISBN: 978-3-902661-28-9OAI: oai:DiVA.org:liu-38860DiVA: diva2:259709
7th IFAC Symposium on Nonlinear Control Systems, Pretoria, South Africa, August, 2007