Feedback particle filter for a continuous-time Markov chain

Tao Yang, Prashant G. Mehta, Sean P. Meyn

Research output: Chapter in Book/Report/Conference proceedingConference contribution


This paper concerns approximation of Wonham's filter for estimating a continuous-time Markov chain, with continuous measurements corrupted by noise. The approximation is a new manifestation of the feedback particle filter (FPF) [15], [14], [13], a control-oriented approach for nonlinear filtering. A complete characterization of the feedback mechanism that defines the FPF is obtained, which leads to tractable algorithms for the nonlinear filtering problem, even for large state spaces. Numerical examples illustrate the application of these techniques.

Original languageEnglish (US)
Title of host publication2013 American Control Conference, ACC 2013
Number of pages6
StatePublished - 2013
Event2013 1st American Control Conference, ACC 2013 - Washington, DC, United States
Duration: Jun 17 2013Jun 19 2013

Publication series

NameProceedings of the American Control Conference
ISSN (Print)0743-1619


Other2013 1st American Control Conference, ACC 2013
Country/TerritoryUnited States
CityWashington, DC

ASJC Scopus subject areas

  • Electrical and Electronic Engineering


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