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Basic Convergence Results for Particle Filtering Methods: Theory for the Users
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2009 (English)Report (Other academic)
Abstract [en]

This work extends our recent work on proving that the particle filter converge for unbounded function to a more general case. More specifically, we prove that the particle filter converge for unbounded functions in the sense of L p-convergence, for an arbitrary p greater than 1. Related to this, we also provide proofs for the case when the function we are estimating is bounded. In the process of deriving the main result we also established a new Rosenthal type inequality.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2009. , 28 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2914
Keyword [en]
Convergence, Particle filter, Nonlinear filtering, Dynamic systems
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-56208ISRN: LiTH-ISY-R-2914OAI: oai:DiVA.org:liu-56208DiVA: diva2:317001
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-08-11Bibliographically approved

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Hu, Xiao-LiSchön, ThomasLjung, Lennart

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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  • 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
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  • asciidoc
  • rtf