Adapting the Number of Particles in Sequential Monte Carlo Methods Through an Online Scheme for Convergence Assessment

DOI10.1109/TSP.2016.2637324zbMATH Open1414.94183arXiv1509.04879OpenAlexW2341285855MaRDI QIDQ4620705FDOQ4620705

Authors: Víctor Elvira, Joaquín Míguez, P. M. Djurić 

Publication date: 8 February 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: Particle filters are broadly used to approximate posterior distributions of hidden states in state-space models by means of sets of weighted particles. While the convergence of the filter is guaranteed when the number of particles tends to infinity, the quality of the approximation is usually unknown but strongly dependent on the number of particles. In this paper, we propose a novel method for assessing the convergence of particle filters online manner, as well as a simple scheme for the online adaptation of the number of particles based on the convergence assessment. The method is based on a sequential comparison between the actual observations and their predictive probability distributions approximated by the filter. We provide a rigorous theoretical analysis of the proposed methodology and, as an example of its practical use, we present simulations of a simple algorithm for the dynamic and online adaption of the number of particles during the operation of a particle filter on a stochastic version of the Lorenz system.

Full work available at URL: https://arxiv.org/abs/1509.04879

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Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (3)

• Parallel sequential Monte Carlo for stochastic gradient-free nonconvex optimization
• On the performance of particle filters with adaptive number of particles
• Automatically adapting the number of state particles in \(\text{SMC}^2\)

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