@inproceedings{e87ade19dd6242e086fef010609ae210,
title = "The continuous-discrete time feedback particle filter",
abstract = "In this paper, the feedback particle filter (FPF) algorithm is introduced for the continuous-discrete time nonlinear filtering problem. As with the continuous-time FPF, the continuous-discrete time algorithm i) admits an innovation error-based feedback control structure, and ii) requires a solution of an Euler-Lagrange boundary value problem (E-L BVP). These solutions are described in closed-form for the linear Gaussian filtering problem. For the general nonlinear non-Gaussian case, an algorithm is described to obtain an approximate solution of the E-L BVP. Comparisons are also made to the particle flow filter algorithm introduced by Daum and Huang.",
keywords = "Estimation, Filtering, Kalman filtering",
author = "Tao Yang and Blom, {Henk A.P.} and Mehta, {Prashant G.}",
year = "2014",
doi = "10.1109/ACC.2014.6859259",
language = "English (US)",
isbn = "9781479932726",
series = "Proceedings of the American Control Conference",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "648--653",
booktitle = "2014 American Control Conference, ACC 2014",
address = "United States",
note = "2014 American Control Conference, ACC 2014 ; Conference date: 04-06-2014 Through 06-06-2014",
}