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2008

A Basic Convergence Result for Particle Filtering

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A Basic Convergence Result for Particle Filtering
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 for a rather general class of unbounded functions. Furthermore, a general framework, including many of the particle filter algorithms as special cases, is given.
Xiao-Li Hu, Thomas B. Schön, Lennart Ljung
Added 28 Jan 2011
Updated 28 Jan 2011
Type Journal
Year 2008
Where TSP
Authors Xiao-Li Hu, Thomas B. Schön, Lennart Ljung
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