Related papers: Error Analysis of the Stochastic Linear Feedback P…
This paper is concerned with the convergence and the error analysis for the feedback particle filter (FPF) algorithm. The FPF is a controlled interacting particle system where the control law is designed to solve the nonlinear filtering…
Feedback particle filter (FPF) is a Monte-Carlo (MC) algorithm to approximate the solution of a stochastic filtering problem. In contrast to conventional particle filters, the Bayesian update step in FPF is implemented via a mean-field type…
This paper is concerned with the problem of continuous-time nonlinear filtering for stochastic processes on a connected matrix Lie group. The main contribution of this paper is to derive the feedback particle filter (FPF) algorithm for this…
This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter which provides an exact solution for the linear Gaussian…
Feedback particle filter (FPF) is a numerical algorithm to approximate the solution of the nonlinear filtering problem in continuous-time settings. In any numerical implementation of the FPF algorithm, the main challenge is to numerically…
In this paper, a novel feedback control-based particle filter algorithm for the continuous-time stochastic hybrid system estimation problem is presented. This particle filter is referred to as the interacting multiple model-feedback…
The filtering distribution captures the statistics of the state of a dynamical system from partial and noisy observations. Classical particle filters provably approximate this distribution in quite general settings; however they behave…
In recent work it is shown that importance sampling can be avoided in the particle filter through an innovation structure inspired by traditional nonlinear filtering combined with Mean-Field Game formalisms. The resulting feedback particle…
The purpose of this paper is to describe the feedback particle filter algorithm for problems where there are a large number ($M$) of non-interacting agents (targets) with a large number ($M$) of non-agent specific observations…
This paper is concerned with the problem of continuous-time nonlinear filtering for stochastic processes on a compact and connected matrix Lie group without boundary, e.g. SO(n) and SE(n), in the presence of real-valued observations. This…
Feedback particle filter (FPF) is an algorithm to numerically approximate the solution of the nonlinear filtering problem in continuous time. The algorithm implements a feedback control law for a system of particles such that the empirical…
Controlled interacting particle systems such as the ensemble Kalman filter (EnKF) and the feedback particle filter (FPF) are numerical algorithms to approximate the solution of the nonlinear filtering problem in continuous time. The…
Motivated by non-linear, non-Gaussian, distributed multi-sensor/agent navigation and tracking applications, we propose a multi-rate consensus/fusion based framework for distributed implementation of the particle filter (CF/DPF). The CF/DPF…
This paper presents theory, application, and comparisons of the feedback particle filter (FPF) algorithm for the problem of attitude estimation. The paper builds upon our recent work on the exact FPF solution of the continuous-time…
Feedback particle filters (FPFs) are Monte-Carlo approximations of the solution of the filtering problem in continuous time. The samples or particles evolve according to a feedback control law in order to track the posterior distribution.…
State filtering is a key problem in many signal processing applications. From a series of noisy measurement, one would like to estimate the state of some dynamic system. Existing techniques usually adopt a Gaussian noise assumption which…
Bootstrap particle filter (BPF) is the corner stone of many popular algorithms used for solving inference problems involving time series that are observed through noisy measurements in a non-linear and non-Gaussian context. The long term…
State estimation in non-linear models is performed by tracking the posterior distribution recursively. A plethora of algorithms have been proposed for this task. Among them, the Gaussian particle filter uses a weighted set of particles to…
Particle filtering (PF) is an often used method to estimate the states of dynamical systems. A major limitation of the standard PF method is that the dimensionality of the state space increases as the time proceeds and eventually may cause…
Distributed signal processing algorithms have become a hot topic during the past years. One class of algorithms that have received special attention are particles filters (PFs). However, most distributed PFs involve various heuristic or…