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.
Type de document :
Rapport
[Research Report] RR-2567, INRIA. 1995
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https://hal.inria.fr/inria-00074114
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Soumis le : mercredi 24 mai 2006 - 14:33:10
Dernière modification le : jeudi 11 janvier 2018 - 16:25:41
Document(s) archivé(s) le : lundi 5 avril 2010 - 00:05:19

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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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