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ON THE CONVERGENCE OF CONSTRAINED PARTICLE FILTERS

Abstract: 

The power of particle filters in tracking the state of non-linear and non-Gaussian systems stems not only from their simple numerical implementation but also from their optimality and convergence properties. In particle filtering, the posterior distribution of the state is approximated by a discrete mass of samples, called particles, that stochastically evolve in time according to the dynamics of the model and the observations. Particle filters have been shown to converge almost surely toward the optimal filter as the number of particles increases. However, when additional constraints are imposed, such that every particle
must satisfy these constraints, the optimality properties and error bounds of the constrained particle filter remain unexplored. This paper derives performance limits and error bounds of the constrained particle filter. We show that the estimation error is bounded by the area of the state posterior density that does
not include the constraining interval. In particular, the error is small if the target density is “well-localized” in the constraining interval.

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Paper Details

Authors:
Nesrine Amor, Nidhal Carla Bouaynaya, Roman Shterenberg and Souad Chebbi
Submitted On:
9 November 2017 - 11:53am
Short Link:
Type:
Poster
Event:
Presenter's Name:
Nesrine AMOR
Paper Code:
1612
Document Year:
2017
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nesrine GLOBALSIP2018 - Copy.pdf

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[1] Nesrine Amor, Nidhal Carla Bouaynaya, Roman Shterenberg and Souad Chebbi, "ON THE CONVERGENCE OF CONSTRAINED PARTICLE FILTERS", IEEE SigPort, 2017. [Online]. Available: http://sigport.org/2272. Accessed: Jan. 22, 2018.
@article{2272-17,
url = {http://sigport.org/2272},
author = {Nesrine Amor; Nidhal Carla Bouaynaya; Roman Shterenberg and Souad Chebbi },
publisher = {IEEE SigPort},
title = {ON THE CONVERGENCE OF CONSTRAINED PARTICLE FILTERS},
year = {2017} }
TY - EJOUR
T1 - ON THE CONVERGENCE OF CONSTRAINED PARTICLE FILTERS
AU - Nesrine Amor; Nidhal Carla Bouaynaya; Roman Shterenberg and Souad Chebbi
PY - 2017
PB - IEEE SigPort
UR - http://sigport.org/2272
ER -
Nesrine Amor, Nidhal Carla Bouaynaya, Roman Shterenberg and Souad Chebbi. (2017). ON THE CONVERGENCE OF CONSTRAINED PARTICLE FILTERS. IEEE SigPort. http://sigport.org/2272
Nesrine Amor, Nidhal Carla Bouaynaya, Roman Shterenberg and Souad Chebbi, 2017. ON THE CONVERGENCE OF CONSTRAINED PARTICLE FILTERS. Available at: http://sigport.org/2272.
Nesrine Amor, Nidhal Carla Bouaynaya, Roman Shterenberg and Souad Chebbi. (2017). "ON THE CONVERGENCE OF CONSTRAINED PARTICLE FILTERS." Web.
1. Nesrine Amor, Nidhal Carla Bouaynaya, Roman Shterenberg and Souad Chebbi. ON THE CONVERGENCE OF CONSTRAINED PARTICLE FILTERS [Internet]. IEEE SigPort; 2017. Available from : http://sigport.org/2272