Convergence of the SMC implementation of the PHD filter

DOI10.1007/S11009-006-8552-YMaRDI QIDQ2433264zbMATH OpenOpenAlexFDO

Authors Adam M. Johansen, Sumeetpal S. Singh, Arnaud Doucet, Ba-Ngu Vo

Publication date 27 October 2006

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-006-8552-y

zbMATH Keywords

central limit theoremfilteringsequential Monte Carlo

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) (L^p)-limit theorems (60F25) Applications of statistics in engineering and industry; control charts (62P30) Filtering in stochastic control theory (93E11)

Review text

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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Cites work

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Cited in

(10)

• Localization of multiple emitters based on the sequential PHD filter
• Iterative mixture component pruning algorithm for Gaussian mixture PHD filter
• Second-order multi-object filtering with target interaction using determinantal point processes
• Convolution kernels implementation of cardinalized probability hypothesis density filter
• On convergence of kernel density estimates in particle filtering.
• On the stability and the approximation of branching distribution flows, with applications to nonlinear multiple target filtering
• Probability hypothesis density filtering for real-time traffic state estimation and prediction
• A linear multisensor PHD filters via the measurement product space
• Convergence analysis for the Gaussian mixture implementation of the CBMeMBer filter
• Sequential Monte Carlo implementation of PHD filter based on Kullback-Leibler divergence

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