| Title:
|
Particle filter with adaptive sample size (English) |
| Author:
|
Straka, Ondřej |
| Author:
|
Šimandl, Miroslav |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
47 |
| Issue:
|
3 |
| Year:
|
2011 |
| Pages:
|
385-400 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
stochastic systems |
| Keyword:
|
nonlinear filtering |
| Keyword:
|
particle filter |
| Keyword:
|
sample size |
| Keyword:
|
adaptation |
| idZBL:
|
Zbl 1221.93261 |
| idMR:
|
MR2857196 |
| . |
| Date available:
|
2011-06-23T12:54:23Z |
| Last updated:
|
2013-09-22 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/141592 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
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| Reference:
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| . |
