Feedback particle filter

The feedback particle filter introduced in this paper is a new approach to approximate nonlinear filtering, motivated by techniques from mean-field game theory. The filter is defined by an ensemble of controlled stochastic systems (the particles). Each particle evolves under feedback control based on its own state, and features of the empirical distribution of the ensemble. The feedback control law is obtained as the solution to an optimal control problem, in which the optimization criterion is the Kullback-Leibler divergence between the actual posterior, and the common posterior of any particle. The following conclusions are obtained for diffusions with continuous observations: 1) The optimal control solution is exact: The two posteriors match exactly, provided they are initialized with identical priors. 2) The optimal filter admits an innovation error-based gain feedback structure. 3) The optimal feedback gain is obtained via a solution of an Euler-Lagrange boundary value problem; the feedback gain equals the Kalman gain in the linear Gaussian case. Numerical algorithms are introduced and implemented in two general examples, and a neuroscience application involving coupled oscillators. In some cases it is found that the filter exhibits significantly lower variance when compared to the bootstrap particle filter.