A new continuous-discrete particle filter for continuous-discrete nonlinear systems

The continuous-discrete version of particle filter (CD-PF) for continuous-discrete nonlinear systems is proposed in this paper. Firstly, the continuous-discrete extended Kalman filter (CD-EKF) and the CD-PF are described in detail, then some comparisons of these two methods are carried out. The simulation results show that the performance of the CD-PF is better than that of the CD-EKF. Then higher order stochastic Runge–Kutta schemes are proposed to improve the stability and precision of the filter. Furthermore, the CD-PF is applied to nonlinear systems with nonGaussian noise. Finally, some simulations are provided to illustrate the effectiveness of the proposed filter.