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 language | English (US) |
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Article number | 6425806 |
Pages (from-to) | 6683-6689 |
Number of pages | 7 |
Journal | Proceedings of the IEEE Conference on Decision and Control |
DOIs | |
State | Published - 2012 |
Event | 51st IEEE Conference on Decision and Control, CDC 2012 - Maui, HI, United States Duration: Dec 10 2012 → Dec 13 2012 |
ASJC Scopus subject areas
- Control and Systems Engineering
- Modeling and Simulation
- Control and Optimization