Multivariable feedback particle filter

DOI10.1016/J.AUTOMATICA.2016.04.019zbMATH Open1343.93088arXiv1303.1205OpenAlexW1992747726MaRDI QIDQ313150FDOQ313150

Sean P. Meyn, Prashant G. Mehta, R. S. Laugesen, Tao Yang

Publication date: 9 September 2016

Published in: Automatica (Search for Journal in Brave)

Abstract: In recent work it is shown that importance sampling can be avoided in the particle filter through an innovation structure inspired by traditional nonlinear filtering combined with Mean-Field Game formalisms. The resulting feedback particle filter (FPF) offers significant variance improvements; in particular, the algorithm can be applied to systems that are not stable. The filter comes with an up-front computational cost to obtain the filter gain. This paper describes new representations and algorithms to compute the gain in the general multivariable setting. The main contributions are, (i) Theory surrounding the FPF is improved: Consistency is established in the multivariate setting, as well as well-posedness of the associated PDE to obtain the filter gain. (ii) The gain can be expressed as the gradient of a function, which is precisely the solution to Poisson's equation for a related MCMC diffusion (the Smoluchowski equation). This provides a bridge to MCMC as well as to approximate optimal filtering approaches such as TD-learning, which can in turn be used to approximate the gain. (iii) Motivated by a weak formulation of Poisson's equation, a Galerkin finite-element algorithm is proposed for approximation of the gain. Its performance is illustrated in numerical experiments.

Full work available at URL: https://arxiv.org/abs/1303.1205

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zbMATH Keywords

particle filteringestimation theorynonlinear filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10)

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Cited In (23)

• Gradient iterative algorithm for dual-rate nonlinear systems based on a novel particle filter
• Nonlinear unknown input observer based on singular value decomposition aided reduced dimension cubature Kalman filter
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• Multivariable feedback particle filter
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• A Unification of Weighted and Unweighted Particle Filters
• Discrete-time linear skew-Gaussian system and its recursive fixed-dimensional exact density filtering
• On one-dimensional Riccati diffusions

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