Nonlinear filters with particle flow

Fred Daum; Jim Huang

doi:10.1117/12.823458

4 September 2009 Nonlinear filters with particle flow

Fred Daum, Jim Huang

Proceedings Volume 7445, Signal and Data Processing of Small Targets 2009; 74450R (2009) https://doi.org/10.1117/12.823458
Event: SPIE Optical Engineering + Applications, 2009, San Diego, California, United States

Abstract

We solve the fundamental and well known problem in particle filters, namely "particle collapse" or "particle degeneracy" as a result of Bayes' rule. We do not resample, and we do not use any proposal density; this is a radical departure from other particle filters. The new filter implements Bayes' rule using particle flow rather than with a pointwise multiplication of two functions. We show numerical results for a new filter that is vastly superior to the classic particle filter and the extended Kalman filter. In particular, the computational complexity of the new filter is many orders of magnitude less than the classic particle filter with optimal estimation accuracy for problems with dimension greater than 4. Moreover, our new filter is two orders of magnitude more accurate than the extended Kalman filter for quadratic and cubic measurement nonlinearities. We also show excellent accuracy for problems with multimodal densities.

Citation Download Citation

Fred Daum and Jim Huang "Nonlinear filters with particle flow", Proc. SPIE 7445, Signal and Data Processing of Small Targets 2009, 74450R (4 September 2009); https://doi.org/10.1117/12.823458

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