Introducing the Laplace approximation in particle filtering

Christian Musso 1 Paul Bui Quang 1, 2 François Le Gland 2
1 ONERA - The French Aerospace Lab [Châtillon]
2 ASPI - Applications of interacting particle systems to statistics
UR1 - Université de Rennes 1, Inria Rennes – Bretagne Atlantique , CNRS - Centre National de la Recherche Scientifique : UMR6074
Abstract : The situations where particle filtering fails (so-called weight degeneracy) can be detected with the asymptotic variance of the particle approximation. However, this asymptotic variance is in general intractable, and in the case of weight degeneracy, computing it by Monte Carlo sampling is inefficient. We propose to compute the asymptotic variance of the particle approximation via the Laplace method for multidimensional integrals. We present this method, and illustrate how it can be used to improve particle filtering robustness.
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Submitted on : Sunday, December 1, 2013 - 1:52:25 AM
Last modification on : Tuesday, March 26, 2019 - 2:24:02 PM

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Christian Musso, Paul Bui Quang, François Le Gland. Introducing the Laplace approximation in particle filtering. Proceedings of the 14th International Conference on Information Fusion, Chicago 2011, Jul 2011, Chicago, United States. pp.290-297. ⟨hal-00911892⟩

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