Convergence of the SMC implementation of the PHD filter (Q2433264): Difference between revisions
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Revision as of 11:21, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Convergence of the SMC implementation of the PHD filter |
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Convergence of the SMC implementation of the PHD filter (English)
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27 October 2006
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This paper shows that, under reasonable assumptions, a sequential Monte Carlo (SMC) approximation of the probability hypothesis density (PHD) filter converges in mean of order \(p\geq 1\), and hence almost surely, to the true PHD filter. The paper also presents a central limit theorem for the SMC approximation, shows that the variance is finite and establishes a recursion for the asymptotic variance.
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central limit theorem
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filtering
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sequential Monte Carlo
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