Title :
On marginal particle filters with linear complexity
Author :
Gustafsson, Fredrik
Author_Institution :
Dept. of Electr. Eng., Linkoping Univ., Linkoping, Sweden
Abstract :
The choice of proposal distribution affects critically the efficiency of a particle filter (PF). When it is not feasible to increase the number of particles, then more advanced proposals may avoid particle depletion. One further option is to compute the marginal posterior distribution. However, exact marginalization has quadratic complexity in the number of particles. This contribution discusses and compares some ideas for implementing a marginal PF with linear complexity, leading to an accept-reject algorithm. However, it turns out that the proposed solution can be interpreted as a way to implement the optimal proposal. Different proposals with and without marginalization are compared on a simple example.
Keywords :
computational complexity; particle filtering (numerical methods); accept-reject algorithm; linear complexity; marginal PF; marginal particle filters; marginal posterior distribution; quadratic complexity; Approximation methods; Complexity theory; Conferences; Monte Carlo methods; Proposals; Signal to noise ratio; Trajectory;
Conference_Titel :
Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP), 2013 IEEE 5th International Workshop on
Conference_Location :
St. Martin
Print_ISBN :
978-1-4673-3144-9
DOI :
10.1109/CAMSAP.2013.6714081
