A drift homotopy implicit particle filter method for nonlinear filtering problems

DOI10.3934/DCDSS.2021097MaRDI QIDQ2129141zbMATH OpenOpenAlexFDO

Authors Feng Bao, Xin Li, K. A. Gallivan

Publication date 22 April 2022

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

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)

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.

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Cited in

(6)

• Gradient iterative algorithm for dual-rate nonlinear systems based on a novel particle filter
• Improved particle filters for multi-target tracking
• A score-based filter for nonlinear data assimilation
• An implicit algorithm of solving nonlinear filtering problems
• Implicit particle filtering \textit{via} a bank of nonlinear Kalman filters
• scientific article; zbMATH DE number 6177765 (Why is no real title available?)

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