The continuous-discrete time feedback particle filter

Tao Yang, Henk A.P. Blom, Prashant G. Mehta

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


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.

Original languageEnglish (US)
Title of host publication2014 American Control Conference, ACC 2014
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages6
ISBN (Print)9781479932726
StatePublished - 2014
Event2014 American Control Conference, ACC 2014 - Portland, OR, United States
Duration: Jun 4 2014Jun 6 2014

Publication series

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


Other2014 American Control Conference, ACC 2014
Country/TerritoryUnited States
CityPortland, OR


  • Estimation
  • Filtering
  • Kalman filtering

ASJC Scopus subject areas

  • Electrical and Electronic Engineering


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