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An Explicit Variance Reduction Expression for the Rao-Blackwellised Particle Filter
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.
Lund University, Sweden.
2010 (English)Report (Other academic)
Abstract [en]

Particle filters (PFs) have shown to be very potent tools for state estimation in nonlinear and/or non-Gaussian state-space models. For certain models, containing a conditionally tractable substructure (typically conditionally linear Gaussian or with finite support), it is possible to exploit this structure in order to obtain more accurate estimates. This has become known as Rao-Blackwellised particle filtering (RBPF). However, since the RBPF is typically more computationally demanding than the standard PF per particle, it is not always beneficial to resort to Rao-Blackwellisation. For the same computational effort, a standard PF with an increased number of particles, which would also increase the accuracy, could be used instead. In this paper, we have analysed the asymptotic variance of the RBPF and provide an explicit expression for the obtained variance reduction. This expression could be used to make an efficient discrimination of when to apply Rao-Blackwellisation, and when not to.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2010. , 6 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2979
Keyword [en]
Particle filtering- -Monte-Carlo methods--Rao-Blackwellised particle filter--Marginalised particle filter--Rao-Blackwellisation--Variance reduction
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-97733ISRN: LiTH-ISY-R-2979OAI: oai:DiVA.org:liu-97733DiVA: diva2:650636
Projects
CADICSCNDM
Funder
Swedish Research Council
Available from: 2013-09-23 Created: 2013-09-23 Last updated: 2014-09-01Bibliographically approved

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Lindsten, FredrikSchön, Thomas B.

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CiteExportLink to record
Permanent link

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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