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Reports (Research Report) Year : 1995

Particle and cell approximations for nonlinear filtering

Fabien Campillo
Frédéric Cérou
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  • PersonId : 970892
François Le Gland
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  • PersonId : 832228
Rivo Rakotozafy
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  • PersonId : 874497

Abstract

We consider the nonlinear filtering problem for systems with noise--free state equation. First, we study a particle approximation of the a posteriori probability distribution, and we give an estimate of the approximation error. Then we show, and we illustrate with numerical examples, that this approximation can produce a non consistent estimation of the state of the system when the measurement noise tends to zero. Hence, we propose a histogram--like modification of the particle approximation, which is always consistent. Finally, we present an application to target motion analysis.
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Dates and versions

inria-00074114 , version 1 (24-05-2006)

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  • HAL Id : inria-00074114 , version 1

Cite

Fabien Campillo, Frédéric Cérou, François Le Gland, Rivo Rakotozafy. Particle and cell approximations for nonlinear filtering. [Research Report] RR-2567, INRIA. 1995. ⟨inria-00074114⟩
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