Particle filters with random resampling times

DOI10.1016/J.SPA.2011.12.012MaRDI QIDQ424474zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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Cited in

(14)

• Uniform time average consistency of Monte Carlo particle filters
• Residual and stratified branching particle filters
• On the role of interaction in sequential Monte Carlo algorithms
• Particle filters with random resampling times
• Enhanced consistency of the resampled convolution particle filter
• Generalised particle filters with Gaussian mixtures
• Resampling algorithms for particle filters: a computational complexity perspective
• Fluctuations, stability and instability of a distributed particle filter with local exchange
• On resampling schemes for particle filters with weakly informative observations
• A backward doubly stochastic differential equation approach for nonlinear filtering problems
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• Negative association, ordering and convergence of resampling methods
• Convergence rates for residual branching particle filters
• scientific article; zbMATH DE number 5932307 (Why is no real title available?)

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