The auxiliary iterated extended Kalman particle filter

DOI10.1007/S11081-014-9266-6MaRDI QIDQ2357902zbMATH OpenOpenAlexFDO

Authors Yanhui Xi, Hui Peng, Genshiro Kitagawa, Xiaohong Chen

Publication date 20 June 2017

Published in Optimization and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11081-014-9266-6

zbMATH Keywords

auxiliary particle filterimportance density functioniterated extended Kalman filterparticle filter

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cites work

• A note on auxiliary particle filters
• Computational aspects of sequential Monte Carlo filter and smoother
• Digital synthesis of non-linear filters
• Filtering via Simulation: Auxiliary Particle Filters
• Gaussian sum particle filtering
• Nonlinear Bayesian estimation using Gaussian sum approximations
• Recursive Bayesian estimation using Gaussian sums
• The iterated Kalman filter update as a Gauss-Newton method
• The Iterated Kalman Smoother as a Gauss–Newton Method

Cited in

(7)

• Cubature particle filter
• Stiefel manifold particle filtering
• On the auxiliary particle filter
• An iterated extended Kalman auxiliary particle filter and analysis of algorithm performance
• Second-order extended particle filter with exponential family observation model
• Auxiliary particle filtering with lookahead support for univariate state space models
• A note on auxiliary particle filters

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