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Exact approximation of Rao-Blackwellised particle filters
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Johansen, Adam M., Whiteley, Nick and Doucet, Arnaud (2012) Exact approximation of Rao-Blackwellised particle filters. In: 16th IFAC Symposium on System Identification, SYSID 2012, Brussels, Belgium, 11-13 July 2012. Published in: System Identification, Vol.16 (No.1). pp. 488-493. doi:10.1136/thoraxjnl-2012-202678.081 ISSN 0040-6376.
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WRAP_Johansen_0771064-st-010213-prbpf-revised.pdf - Accepted Version Download (475Kb) | Preview |
Official URL: http://dx.doi.org/10.3182/20120711-3-BE-2027.00183
Abstract
Particle methods are a category of Monte Carlo algorithms that have become popular for performing inference in non-linear non-Gaussian state-space models. The class of 'Rao-Blackwellised' particle filters exploits the analytic marginalisation that is possible for some state-
space models to reduce the variance of the Monte Carlo estimates. Despite being applicable to only a restricted class of state-space models, such as conditionally linear Gaussian models, these algorithms have found numerous applications. In scenarios where no such analytical integration is possible, it has recently been proposed in Chen et al. [2011] to use 'local' particle filters to
carry out this integration numerically. We propose here an alternative approach also relying on \local" particle filters which is more broadly applicable and has attractive theoretical properties. Proof-of-concept simulation results are presented.
Item Type: | Conference Item (Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Particle methods (Numerical analysis), Mathematical statistics | ||||
Journal or Publication Title: | System Identification | ||||
Publisher: | Elsevier | ||||
ISSN: | 0040-6376 | ||||
Official Date: | 2012 | ||||
Dates: |
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Volume: | Vol.16 | ||||
Number: | No.1 | ||||
Page Range: | pp. 488-493 | ||||
DOI: | 10.1136/thoraxjnl-2012-202678.081 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 | ||||
Funder: | Engineering and Physical Sciences Research Council (EPSRC) | ||||
Grant number: | EP/I017984/1 (EPSRC) | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | 16th IFAC Symposium on System Identification, SYSID 2012 | ||||
Type of Event: | Conference | ||||
Location of Event: | Brussels, Belgium | ||||
Date(s) of Event: | 11-13 July 2012 | ||||
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