A general convergence result for particle filtering

Title: A general convergence result for particle filtering
Creator: Hu, Xiao-Li; Schon, Thomas B.; Ljung, Lennart
Relation: IEEE Transactions on Signal Processing Vol. 59, Issue 7, p. 3424-3429
Publisher Link: http://dx.doi.org/10.1109/TSP.2011.2135349
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Resource Type: journal article
Date: 2011
Description: The particle filter has become an important tool in solving nonlinear filtering problems for dynamic systems. This correspondence extends our recent work, where we proved that the particle filter converges for unbounded functions, using L4-convergence. More specifically, the present contribution is that we prove that the particle filter converge for unbounded functions in the sense of Lp-convergence, for an arbitrary p ≥ 2.
Subject: convergence of numerical methods; nonlinear estimation; particle filters; state estimation
Identifier: http://hdl.handle.net/1959.13/1065739
Identifier: uon:17906
Identifier: ISSN:1053-587X
Language: eng
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