{"title":"Gaussian particle filtering","authors":"J. Kotecha, P. Djurić","doi":"10.1109/SSP.2001.955314","DOIUrl":null,"url":null,"abstract":"Sequential Bayesian estimation for dynamic state space models involves recursive estimation of hidden states based on noisy observations. The update of filtering and predictive densities for nonlinear models with non-Gaussian noise using Monte Carlo particle filtering methods is considered. The Gaussian particle filter (GPF) is introduced, where densities are approximated as a single Gaussian, an assumption which is also made in the extended Kalman filter (EKF). It is analytically shown that, if the Gaussian approximations hold true, the GPF minimizes the mean square error of the estimates asymptotically. The simulations results indicate that the filter has improved performance compared to the EKF, especially for highly nonlinear models where the EKF can diverge.","PeriodicalId":70952,"journal":{"name":"信号处理","volume":"57 1","pages":"429-432"},"PeriodicalIF":0.0000,"publicationDate":"2001-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"861","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"信号处理","FirstCategoryId":"1093","ListUrlMain":"https://doi.org/10.1109/SSP.2001.955314","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 861
Abstract
Sequential Bayesian estimation for dynamic state space models involves recursive estimation of hidden states based on noisy observations. The update of filtering and predictive densities for nonlinear models with non-Gaussian noise using Monte Carlo particle filtering methods is considered. The Gaussian particle filter (GPF) is introduced, where densities are approximated as a single Gaussian, an assumption which is also made in the extended Kalman filter (EKF). It is analytically shown that, if the Gaussian approximations hold true, the GPF minimizes the mean square error of the estimates asymptotically. The simulations results indicate that the filter has improved performance compared to the EKF, especially for highly nonlinear models where the EKF can diverge.
期刊介绍:
Journal of Signal Processing is an academic journal supervised by China Association for Science and Technology and sponsored by China Institute of Electronics. The journal is an academic journal that reflects the latest research results and technological progress in the field of signal processing and related disciplines. It covers academic papers and review articles on new theories, new ideas, and new technologies in the field of signal processing. The journal aims to provide a platform for academic exchanges for scientific researchers and engineering and technical personnel engaged in basic research and applied research in signal processing, thereby promoting the development of information science and technology. At present, the journal has been included in the three major domestic core journal databases "China Science Citation Database (CSCD), China Science and Technology Core Journals (CSTPCD), Chinese Core Journals Overview" and Coaj. It is also included in many foreign databases such as Scopus, CSA, EBSCO host, INSPEC, JST, etc.