Gain function approximation in the feedback particle filter

Amirhossein Taghvaei; Prashant G. Mehta

doi:10.1109/CDC.2016.7799105

Gain function approximation in the feedback particle filter

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

This paper is concerned with numerical algorithms for gain function approximation in the feedback particle filter. The exact gain function is the solution of a Poisson equation involving a probability-weighted Laplacian. The problem is to approximate this solution using only particles sampled from the probability distribution. Two algorithms are presented: a Galerkin algorithm and a kernel-based algorithm. Both the algorithms are adapted to the samples and do not require approximation of the probability distribution as an intermediate step. The paper contains a preliminary error analysis for the algorithms as well as some comparative numerical results for a non-Gaussian distribution. These algorithms are also applied and illustrated for a simple nonlinear filtering example.

Original language	English (US)
Title of host publication	2016 IEEE 55th Conference on Decision and Control, CDC 2016
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	5446-5452
Number of pages	7
ISBN (Electronic)	9781509018376
DOIs	https://doi.org/10.1109/CDC.2016.7799105
State	Published - Dec 27 2016
Event	55th IEEE Conference on Decision and Control, CDC 2016 - Las Vegas, United States Duration: Dec 12 2016 → Dec 14 2016

Publication series

Name	2016 IEEE 55th Conference on Decision and Control, CDC 2016

Other

Other	55th IEEE Conference on Decision and Control, CDC 2016
Country/Territory	United States
City	Las Vegas
Period	12/12/16 → 12/14/16

ASJC Scopus subject areas

Artificial Intelligence
Decision Sciences (miscellaneous)
Control and Optimization

Online availability

10.1109/CDC.2016.7799105

Library availability

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Gain function approximation in the feedback particle filter. / Taghvaei, Amirhossein; Mehta, Prashant G.

2016 IEEE 55th Conference on Decision and Control, CDC 2016. Institute of Electrical and Electronics Engineers Inc., 2016. p. 5446-5452 7799105 (2016 IEEE 55th Conference on Decision and Control, CDC 2016).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Taghvaei, A & Mehta, PG 2016, Gain function approximation in the feedback particle filter. in 2016 IEEE 55th Conference on Decision and Control, CDC 2016., 7799105, 2016 IEEE 55th Conference on Decision and Control, CDC 2016, Institute of Electrical and Electronics Engineers Inc., pp. 5446-5452, 55th IEEE Conference on Decision and Control, CDC 2016, Las Vegas, United States, 12/12/16. https://doi.org/10.1109/CDC.2016.7799105

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Gain function approximation in the feedback particle filter

Abstract

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