Analysis of error propagation in particle filters with approximation

DOI10.1214/11-AAP760zbMATH Open1231.62174arXiv0908.2926OpenAlexW2059819780MaRDI QIDQ657703FDOQ657703

Authors: Boris N. Oreshkin, Mark J. Coates 

Publication date: 10 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: This paper examines the impact of approximation steps that become necessary when particle filters are implemented on resource-constrained platforms. We consider particle filters that perform intermittent approximation, either by subsampling the particles or by generating a parametric approximation. For such algorithms, we derive time-uniform bounds on the weak-sense $L_p$ error and present associated exponential inequalities. We motivate the theoretical analysis by considering the leader node particle filter and present numerical experiments exploring its performance and the relationship to the error bounds.

Full work available at URL: https://arxiv.org/abs/0908.2926

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zbMATH Keywords

collaborative tracking

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inequalities; stochastic orderings (60E15) Sequential estimation (62L12) Stochastic particle methods (65C35) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited In (4)

• Nudging the particle filter
• Particle filtering based parameter estimation for systems with output-error type model structures
• Performance evaluation of particle filter resampling techniques for improved estimation of misalignment and trajectory deviation
• Analysis of error propagation in particle filters with approximation

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