Bernoulli Race Particle Filters

03/03/2019
by   Sebastian M. Schmon, et al.
1

When the weights in a particle filter are not available analytically, standard resampling methods cannot be employed. To circumvent this problem state-of-the-art algorithms replace the true weights with non-negative unbiased estimates. This algorithm is still valid but at the cost of higher variance of the resulting filtering estimates in comparison to a particle filter using the true weights. We propose here a novel algorithm that allows for resampling according to the true intractable weights when only an unbiased estimator of the weights is available. We demonstrate our algorithm on several examples.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset