Particle and cell approximations for nonlinear filtering
Overview & Synopsis
We consider the nonlinear filtering problem for systems with noise--free state equation. First, we study a particle approximation of the a posteriori probability distribution, and we give an estimate of the approximation error. Then we show, and we illustrate with numerical examples, that this approximation can produce a non consistent estimation of the state of the system when the measurement noise tends to zero. Hence, we propose a histogram--like modification of the particle approximation, which is always consistent. Finally, we present an application to target motion analysis.
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Document Information
| Document Title | Particle and cell approximations for nonlinear filtering |
|---|---|
| Author / Organization | Fabien Campillo, Frédéric Cérou, François Le Gland, Rivo Rakotozafy |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 1995 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-83157 |
| Original Source Link | Visit Source Page on hal.science » |