Particle Filtering With Dependent Noise Processes

Modeling physical systems often leads to discrete time state-space models with dependent process and measurement noises. For linear Gaussian models, the Kalman filter handles this case, as is well described in literature. However, for nonlinear or non-Gaussian models, the particle filter as described in literature provides a general solution only for the case of independent noise. Here, we present an extended theory of the particle filter for dependent noises with the following key contributions: i) The optimal proposal distribution is derived; ii) the special case of Gaussian noise in nonlinear models is treated in detail, leading to a concrete algorithm that is as easy to implement as the corresponding Kalman filter; iii) the marginalized (Rao-Blackwellized) particle filter, handling linear Gaussian substructures in the model in an efficient way, is extended to dependent noise; and, finally, iv) the parameters of a joint Gaussian distribution of the noise processes are estimated jointly with the state in a recursive way.