Particle filters with random resampling times

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

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

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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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• Particle filters with random resampling times
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Cited In (10)

• Particle filters with random resampling times
• Enhanced consistency of the resampled convolution particle filter
• 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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