A survey of convergence results on particle filtering methods for practitioners
Top Cited Papers
- 7 August 2002
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Signal Processing
- Vol. 50 (3) , 736-746
- https://doi.org/10.1109/78.984773
Abstract
Optimal filtering problems are ubiquitous in signal processing and related fields. Except for a restricted class of models, the optimal filter does not admit a closed-form expression. Particle filtering methods are a set of flexible and powerful sequential Monte Carlo methods designed to. solve the optimal filtering problem numerically. The posterior distribution of the state is approximated by a large set of Dirac-delta masses (samples/particles) that evolve randomly in time according to the dynamics of the model and the observations. The particles are interacting; thus, classical limit theorems relying on statistically independent samples do not apply. In this paper, our aim is to present a survey of convergence results on this class of methods to make them accessible to practitioners.Keywords
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