A General Convergence Result for Particle Filtering

Author

Xiao-Li Hu ; Schon, Thomas ; Ljung, L.

Author_Institution

Sch. of Electr. Eng. & Comput. Sci., Univ. of Newcastle, Newcastle, NSW, Australia

Volume

Issue

fYear

2011

fDate

7/1/2011 12:00:00 AM

Firstpage

3424

Lastpage

3429

Abstract

The particle filter has become an important tool in solving nonlinear filtering problems for dynamic systems. This correspondence extends our recent work, where we proved that the particle filter converges for unbounded functions, using L⁴-convergence. More specifically, the present contribution is that we prove that the particle filter converge for unbounded functions in the sense of Lp-convergence, for an arbitrary p ≥ 2.

Keywords

convergence of numerical methods; nonlinear dynamical systems; nonlinear filters; particle filtering (numerical methods); L⁴-convergence; L^p-convergence; dynamic systems; nonlinear filtering problems; particle filtering; unbounded functions; Approximation methods; Convergence; Density measurement; Estimation; Markov processes; Noise measurement; Signal processing algorithms; Convergence of numerical methods; nonlinear estimation; particle filters; state estimation;

fLanguage

English

Journal_Title

Signal Processing, IEEE Transactions on

Publisher

ieee

ISSN

1053-587X

Type

jour

DOI

10.1109/TSP.2011.2135349

Filename

5740996

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1485576