A unification of weighted and unweighted particle filters

DOI10.1137/20M1382404MaRDI QIDQ5065052zbMATH OpenFDO

Authors Ehsan Abedi, Simone Carlo Surace, Jean-Pascal Pfister

Publication date 18 March 2022

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2011.13804

zbMATH Keywords

importance samplingFokker-Planck equationstochastic differential equationsinteracting particle systemsnonlinear filteringKushner-Stratonovich equationMcKean-Vlasov processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic particle methods (65C35)

Abstract: Particle filters (PFs), which are successful methods for approximating the solution of the filtering problem, can be divided into two types: weighted and unweighted PFs. It is well known that weighted PFs suffer from the weight degeneracy and curse of dimensionality. To sidestep these issues, unweighted PFs have been gaining attention, though they have their own challenges. The existing literature on these types of PFs is based on distinct approaches. In order to establish a connection, we put forward a framework that unifies weighted and unweighted PFs in the continuous-time filtering problem. We show that the stochastic dynamics of a particle system described by a pair process, representing particles and their importance weights, should satisfy two necessary conditions in order for its distribution to match the solution of the Kushner--Stratonovich equation. In particular, we demonstrate that the bootstrap particle filter (BPF), which relies on importance sampling, and the feedback particle filter (FPF), which is an unweighted PF based on optimal control, arise as special cases from a broad class and that there is a smooth transition between the two. The freedom in designing the PF dynamics opens up potential ways to address the existing issues in the aforementioned algorithms, namely weight degeneracy in the BPF and gain estimation in the FPF.

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Cited in

(2)

• A uniformly convergent adaptive particle filter
• How to avoid the curse of dimensionality: scalability of particle filters with and without importance weights

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