A drift homotopy implicit particle filter method for nonlinear filtering problems

DOI10.3934/DCDSS.2021097zbMATH Open1492.60099arXiv2106.11380OpenAlexW3197764304MaRDI QIDQ2129141FDOQ2129141

Xin Li, K. A. Gallivan, Feng Bao

Publication date: 22 April 2022

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Abstract: In this paper, we develop a drift homotopy implicit particle filter method. The methodology of our approach is to adopt the concept of drift homotopy in the resampling procedure of the particle filter method for solving the nonlinear filtering problem, and we introduce an implicit particle filter method to improve the efficiency of the drift homotopy resampling procedure. Numerical experiments are carried out to demonstrate the effectiveness and efficiency of our drift homotopy implicit particle filter.

Full work available at URL: https://arxiv.org/abs/2106.11380

zbMATH Keywords

particle filterimplicit samplingnonlinear filtering problemdrift homotopy dynamics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cited In (3)

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Uses Software

• EnKF

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