A General Convergence Result for Particle Filtering
2011 (English)Report (Other academic)
The particle filter has become an important tool in solving nonlinear filtering problems for dynamic systems. This correspondence extends our recent work, where we proved that the particle filter converges for unbounded functions, using L4-convergence. More specifically, the present contribution is that we prove that the particle filter converge for unbounded functions in the sense of Lp-convergence, for an arbitrary p ≥ 2.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2011.
LiTH-ISY-R, ISSN 1400-3902 ; 3000
Convergence of numerical methods, Nonlinear estimation, Particle filters, State estimation
IdentifiersURN: urn:nbn:se:liu:diva-97949ISRN: LiTH-ISY-R-3000OAI: oai:DiVA.org:liu-97949DiVA: diva2:650758