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Particle filter with adaptive sample size
Kybernetika, Tome 47 (2011) no. 3, pp. 385-400
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The paper deals with the particle filter in state estimation of a discrete-time nonlinear non-Gaussian system. The goal of the paper is to design a sample size adaptation technique to guarantee a quality of a filtering estimate produced by the particle filter which is an approximation of the true filtering estimate. The quality is given by a difference between the approximate filtering estimate and the true filtering estimate. The estimate may be a point estimate or a probability density function estimate. The proposed technique adapts the sample size to keep the difference within pre-specified bounds with a pre-specified probability. The particle filter with the proposed sample size adaptation technique is illustrated in a numerical example.
The paper deals with the particle filter in state estimation of a discrete-time nonlinear non-Gaussian system. The goal of the paper is to design a sample size adaptation technique to guarantee a quality of a filtering estimate produced by the particle filter which is an approximation of the true filtering estimate. The quality is given by a difference between the approximate filtering estimate and the true filtering estimate. The estimate may be a point estimate or a probability density function estimate. The proposed technique adapts the sample size to keep the difference within pre-specified bounds with a pre-specified probability. The particle filter with the proposed sample size adaptation technique is illustrated in a numerical example.
Keywords: stochastic systems; nonlinear filtering; particle filter; sample size; adaptation 
@article{KYB_2011_47_3_a5,
     author = {Straka, Ond\v{r}ej and \v{S}imandl, Miroslav},
     title = {Particle filter with adaptive sample size},
     journal = {Kybernetika},
     pages = {385--400},
     year = {2011},
     volume = {47},
     number = {3},
     mrnumber = {2857196},
     zbl = {1221.93261},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2011_47_3_a5/}
}
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Straka, Ondřej; Šimandl, Miroslav. Particle filter with adaptive sample size. Kybernetika, Tome 47 (2011) no. 3, pp. 385-400. http://geodesic.mathdoc.fr/item/KYB_2011_47_3_a5/

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