Generalized particle flow for nonlinear filters

Fred Daum; Jim Huang

doi:10.1117/12.839421

Abstract

We generalize the theory of particle flow to stabilize the nonlinear filter. We have invented a new nonlinear filter that is vastly superior to the classic particle filter and the extended Kalman filter (EKF). In particular, the computational complexity of the new filter is many orders of magnitude less than the classic particle filter with optimal estimation accuracy for problems with dimension greater than 4. Our accuracy is typically several orders of magnitude better than the EKF for nonlinear problems. We do not resample, and we do not use any proposal density from an EKF or UKF or other filter. Moreover, our new algorithm is deterministic, and we do not use any MCMC methods; this is a radical departure from other particle filters. The new filter implements Bayes' rule using particle flow rather than with a pointwise multiplication of two functions; this avoids one of the fundamental and well known problems in particle filters, namely "particle degeneracy." In addition, we explicitly stabilize our particle filter using negative feedback, unlike standard particle filters, which are generally very inaccurate for plants with slow mixing or unstable dynamics. This stabilization improves performance by several orders of magnitude for difficult problems.

Citation Download Citation

Fred Daum, Fred Daum, Jim Huang, Jim Huang, } "Generalized particle flow for nonlinear filters", Proc. SPIE 7698, Signal and Data Processing of Small Targets 2010, 76980I (15 April 2010); doi: 10.1117/12.839421; https://doi.org/10.1117/12.839421

ACCESS THE FULL ARTICLE

PERSONAL SIGN IN
Full access may be available with your subscription

Email or Username Forgot your username?

Password Forgot your password?

Show

Remember Email/Username on this computer

Remember Password

No SPIE account? Create an account
or Institutional Sign In via Shibboleth

PURCHASE THIS CONTENT

SUBSCRIBE TO DIGITAL LIBRARY

50 downloads per 1-year subscription

Members: $195

Non-members: $335 ADD TO CART

25 downloads per 1 - year subscription

Members: $145

Non-members: $250 ADD TO CART

PURCHASE SINGLE ARTICLE

Includes PDF, HTML & Video, when available

Members: $14.40

Non-members: $18.00 ADD TO CART

Show All Keywords

Keywords/Phrases

Search In:

Publication Years