Risk Sensitive Particle Filters for Mitigating Sample Impoverishment
2007 (English)In: Proceedings of the 14th IEEE/SP Workshop on Statistical Signal Processing, 2007, , 259-263 p.259-263 p.Conference paper (Refereed)
Risk-sensitive filters (RSF) put a penalty to higher-order moments of the estimation error compared to conventional filters as the Kalman filter minimizing the mean square error. The result is a more cautious filter, which can be interpreted as an implicit and automatic way to increase the state noise covariance. On the other hand, the process of jittering, or roughening, is well-known in particle filters to mitigate sample impoverishment. The purpose of this contribution is to introduce risk-sensitive particle filters (RSPF) as an alternative approach to mitigate sample impoverishment based on constructing explicit risk functions from a general class of factorizable functions.
Place, publisher, year, edition, pages
2007. , 259-263 p.259-263 p.
Risk sensitive, Particle filter
National CategoryEngineering and Technology Control Engineering
IdentifiersURN: urn:nbn:se:liu:diva-42378DOI: 10.1109/SSP.2007.4301259Local ID: 63439ISBN: 978-1-4244-1198-6OAI: oai:DiVA.org:liu-42378DiVA: diva2:263234
14th IEEE/SP Workshop on Statistical Signal Processing, Madison, WI, USA, August, 2007