Optimisation of particle filters using simultaneous perturbation stochastic approximation

This paper addresses the optimisation of particle filtering methods aka Sequential Monte Carlo (SMC) methods using stochastic approximation. First, the SMC algorithm is parameterised smoothly by a parameter. Second, optimisation of an average cost function is performed using Simultaneous Perturbatio...

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Autori principali: Chan, T, Doucet, A, Tadic, V, IEEE
Natura: Journal article
Lingua:English
Pubblicazione: 2003