Abstract

We propose several techniques for simulation of the prediction step of particle filters for application to a class of estimation problems. These techniques are based on variance reduction techniques previously proposed for stochastic simulation of tau-leaping processes. Proof of almost sure weak convergence is given for an approach in one dimension, and numerical examples pertaining to building population dynamics are presented in both single and multidimensional tau-leaping cases.

Original languageEnglish (US)
Article number6425806
Pages (from-to)6683-6689
Number of pages7
JournalProceedings of the IEEE Conference on Decision and Control
DOIs
StatePublished - Dec 1 2012
Event51st IEEE Conference on Decision and Control, CDC 2012 - Maui, HI, United States
Duration: Dec 10 2012Dec 13 2012

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Population dynamics
Variance Reduction
Particle Filter
Stochastic Simulation
Population Dynamics
Weak Convergence
One Dimension
Numerical Examples
Prediction
Simulation

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

Cite this

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title = "Application of variance reduction techniques for tau-leaping systems to particle filters",
abstract = "We propose several techniques for simulation of the prediction step of particle filters for application to a class of estimation problems. These techniques are based on variance reduction techniques previously proposed for stochastic simulation of tau-leaping processes. Proof of almost sure weak convergence is given for an approach in one dimension, and numerical examples pertaining to building population dynamics are presented in both single and multidimensional tau-leaping cases.",
author = "Maginnis, {Peter A.} and Matthew West and Dullerud, {Geir E.}",
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publisher = "Institute of Electrical and Electronics Engineers Inc.",

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