Direct, prediction- and smoothing-based Kalman and particle filter algorithms

DOI10.1016/J.SIGPRO.2011.03.013MaRDI QIDQ553773zbMATH OpenOpenAlexFDO

Authors François Desbouvries, Yohan Petetin, Boujemaa Ait-El-Fquih

Publication date 27 July 2011

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sigpro.2011.03.013

zbMATH Keywords

sequential Monte Carloparticle filteringsequential importance samplingKalman filterssampling importance resampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Filtering in stochastic control theory (93E11) Sampling theory in information and communication theory (94A20)

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Cites work

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• scientific article; zbMATH DE number 940582 (Why is no real title available?)
• Array algorithms for H/sup ∞/ estimation
• Bootstrap methods: another look at the jackknife
• Filtering via Simulation: Auxiliary Particle Filters
• Inference in hidden Markov models.
• Monte-Carlo technique in problems of optimal information processing
• On Bayesian Fixed-Interval Smoothing Algorithms
• On the auxiliary particle filter
• One-step fixed-lag smoothers for Markovian switching systems
• Sampling-Based Approaches to Calculating Marginal Densities
• Sequential Monte Carlo Methods for Dynamic Systems
• The bootstrap: To smooth or not to smooth?
• The weighted bootstrap

Cited in

(1)

• A new conditional posterior Cramér-Rao lower bound for a class of nonlinear systems

Describes a project that uses

Uses Software

• bootstrap

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