Economical simulation in particle filtering using interpolation
Author(s)Taylor, Joshua Adam; Hover, Franz S.
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Sampling from the importance density is often a costly aspect of particle filters. We present a method by which to replace the most computationally expensive component of the importance density with an efficient approximation, thus allowing for the propagation of a large number of particles at reduced cost. The modification is implemented within auxiliary and regularized particle filters in a numerical example based on the Kraichnan-Orszag system.
DepartmentMassachusetts Institute of Technology. Department of Mechanical Engineering
International Conference on Information and Automation, 2009. ICIA '09.
Institute of Electrical and Electronics Engineers
Taylor, J.A., and F.S. Hover. “Economical Simulation in Particle Filtering Using Interpolation.” Information and Automation, 2009. ICIA ’09. International Conference On. 2009. 1326-1330. © 2009 IEEE.
Final published version
INSPEC Accession Number: 10837421