Numerical experiments for Coulomb's law particle flow for nonlinear filters

Fred Daum; Jim Huang; Arjang Noushin

doi:10.1117/12.887521

16 September 2011 Numerical experiments for Coulomb's law particle flow for nonlinear filters

Fred Daum, Jim Huang, Arjang Noushin

Proceedings Volume 8137, Signal and Data Processing of Small Targets 2011; 81370E (2011) https://doi.org/10.1117/12.887521
Event: SPIE Optical Engineering + Applications, 2011, San Diego, California, United States

Abstract

We show numerical results for a new nonlinear filtering algorithm that is analogous to Coulomb's law. We have invented a new theory of exact particle flow for nonlinear filters. The flow of particles corresponding to Bayes' rule is computed from the gradient of the solution of Poisson's equation, and it is analogous to Coulomb's law. Our theory is a radical departure from other particle filters in several ways: (1) we compute Bayes' rule using a flow of particles rather than as a pointwise multiplication; (2) we never resample particles; (3) we do not use a proposal density; (4) we do not use importance sampling or any other MCMC algorithm; and (5) our filter is roughly 6 to 8 orders of magnitude faster than standard particle filters for the same accuracy.

Citation Download Citation

Fred Daum, Jim Huang, and Arjang Noushin "Numerical experiments for Coulomb's law particle flow for nonlinear filters", Proc. SPIE 8137, Signal and Data Processing of Small Targets 2011, 81370E (16 September 2011); https://doi.org/10.1117/12.887521

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