Abstract:
The choice of proposal distribution affects critically the efficiency of a particle filter (PF). When it is not feasible to increase the number of particles, then more ad...Show MoreMetadata
Abstract:
The choice of proposal distribution affects critically the efficiency of a particle filter (PF). When it is not feasible to increase the number of particles, then more advanced proposals may avoid particle depletion. One further option is to compute the marginal posterior distribution. However, exact marginalization has quadratic complexity in the number of particles. This contribution discusses and compares some ideas for implementing a marginal PF with linear complexity, leading to an accept-reject algorithm. However, it turns out that the proposed solution can be interpreted as a way to implement the optimal proposal. Different proposals with and without marginalization are compared on a simple example.
Published in: 2013 5th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP)
Date of Conference: 15-18 December 2013
Date Added to IEEE Xplore: 20 January 2014
ISBN Information: