Jornal article

Straka O.,Šimandl M.

Kybernetika

47

2011

3

385-400

0023-5954

Ing. Ondřej Straka, Ph.D. (FAV Západočeská univerzita, katedra kybernetiky)

stochastic systems; nonlinear ?ltering; particle ?lter

Kybernetika-paper-SS.pdf [file]

The paper deals with the particle filter in state estimation of a discrete-time nonlinear non-Gaussian system. The goal of the paper is to design a sample size adaptation technique to guarantee a quality of a filtering estimate produced by the particle filter which is an approximation of the true filtering estimate. The quality is given by a difference between the approximate filtering estimate and the true filtering estimate. The estimate may be a point estimate or a probability density function estimate. The proposed technique adapts the sample size to keep the difference within pre-specified bounds with a pre-specified probability. The particle ?lter with the proposed sample size adaptation technique is illustrated in a numerical example.