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Particle and cell approximations for nonlinear filtering

Fabien Campillo 1 Frédéric Cérou 1 François Le Gland 1 Rivo Rakotozafy 1
1 MEFISTO
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : We consider the nonlinear filtering problem for systems with noise--free state equation. First, we study a particle approximation of the a posteriori probability distribution, and we give an estimate of the approximation error. Then we show, and we illustrate with numerical examples, that this approximation can produce a non consistent estimation of the state of the system when the measurement noise tends to zero. Hence, we propose a histogram--like modification of the particle approximation, which is always consistent. Finally, we present an application to target motion analysis.
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https://hal.inria.fr/inria-00074114
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 2:33:10 PM
Last modification on : Friday, June 28, 2019 - 1:09:06 PM
Long-term archiving on: : Monday, April 5, 2010 - 12:05:19 AM

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Fabien Campillo, Frédéric Cérou, François Le Gland, Rivo Rakotozafy. Particle and cell approximations for nonlinear filtering. [Research Report] RR-2567, INRIA. 1995. ⟨inria-00074114⟩

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