The Mathematical Institute, University of Oxford, Eprints Archive

Regularized particle filter with Langevin resampling step

Duan, L. and Farmer, C. L. and Moroz, I. M. (2010) Regularized particle filter with Langevin resampling step. In: ICNAAM 2010. (Submitted)

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Abstract

The solution of an inverse problem involves the estimation of variables and parameters values given by the statespace system. While a general (infinite-dimensional) optimal filter theory [1, 2] exists for nonlinear systems with Gaussian or non-Gaussian noise, applications rely on (finite-dimensional) suboptimal approximations to the optimal filter for practical implementations. The most widely-studied filters of this kind include the Regularized Particle Filter (RPF) [3, 4] and the Ensemble Square Root Filter (EnSRF) [5]. The latter is an ad-hoc approximation to the Bayes Filter, while the former is rigorously formulated, based upon the Glivenko-Cantelli theorem. By introducing a new global resampling step to the RPF, the EnSRF is proved to approximate the RPF in a special case.

Item Type:Conference or Workshop Item (Paper)
Subjects:D - G > General
Research Groups:Oxford Centre for Collaborative Applied Mathematics
ID Code:1004
Deposited By:Peter Hudston
Deposited On:28 Oct 2010 14:40
Last Modified:09 Feb 2012 15:56

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