Particle and cell approximations for nonlinear filtering

Fabien Campillo (1) , Frédéric Cérou (1) , François Le Gland (1) , Rivo Rakotozafy (1)

1 MEFISTO - MEFISTO

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.

Mots clés: TARGET MOTION ANALYSIS; CELL APPROXIMATION; NONLINEAR FILTERING; PARTICLE APPROXIMATION

Domaines: Autre [cs.OH]

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