Particle filters with random resampling times

DOI10.1016/J.SPA.2011.12.012zbMATH Open1246.60063OpenAlexW1992434386MaRDI QIDQ424474FDOQ424474

D. Crisan, O. Obanubi

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.12.012

zbMATH Keywords

central limit theoremresamplingfilteringZakai equationparticle filtersstochastic partial differential equationcoefficient of variationeffective sample sizerandom timesresampling timessequential Monte-Carlo methodssoft maximum

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) (L^p)-limit theorems (60F25)

Cites Work

• Sequential Monte Carlo Methods in Practice
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• The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
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• A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems
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• Nonlinear filtering and measure-valued processes
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• A Moran particle system approximation of Feynman-Kac formulae
• On uniqueness of solutions for the stochastic differential equations of nonlinear filtering
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• Particle filters with random resampling times
• Elementary Probability

Cited In (9)

• Particle filters with random resampling times
• On the role of interaction in sequential Monte Carlo algorithms
• Title not available (Why is that?)
• Fluctuations, stability and instability of a distributed particle filter with local exchange
• A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems
• On resampling schemes for particle filters with weakly informative observations
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• Generalised particle filters with Gaussian mixtures
• Resampling algorithms for particle filters: a computational complexity perspective

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