25 August 2004 Quasi-Monte Carlo hybrid particle filters
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Abstract
We describe a new hybrid particle filter that has two novel features: (1) it uses quasi-Monte Carlo samples rather than the conventional Monte Carlo sampling, and (2) it implements Bayes' rule exactly using smooth densities from the exponential family. Theory and numerical experiments over the last decade have shown that quasi-Monte Carlo sampling is vastly superior to Monte Carlo samples for certain high dimensional integrals, and we exploit this fact to reduce the computational complexity of our new particle filter. The main problem with conventional particle filters is the curse of dimensionality. We mitigate this issue by avoiding particle depletion, by implementing Bayes' rule exactly using smooth densities from the exponential family.
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Frederick E. Daum, Frederick E. Daum, Jim Huang, Jim Huang, "Quasi-Monte Carlo hybrid particle filters", Proc. SPIE 5428, Signal and Data Processing of Small Targets 2004, (25 August 2004); doi: 10.1117/12.532487; https://doi.org/10.1117/12.532487
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