Economical simulation in particle filtering using interpolation
Sampling from the importance density is often a costly aspect of particle filters. We present a method by which to replace the most computationally expensive component of the importance density with an efficient approximation, thus allowing for the propagation of a large number of particles at reduc...
| Auteurs principaux: | , |
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| Autres auteurs: | |
| Format: | Article |
| Langue: | en_US |
| Publié: |
Institute of Electrical and Electronics Engineers
2011
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| Accès en ligne: | http://hdl.handle.net/1721.1/62228 https://orcid.org/0000-0002-2621-7633 |
| Résumé: | Sampling from the importance density is often a costly aspect of particle filters. We present a method by which to replace the most computationally expensive component of the importance density with an efficient approximation, thus allowing for the propagation of a large number of particles at reduced cost. The modification is implemented within auxiliary and regularized particle filters in a numerical example based on the Kraichnan-Orszag system. |
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