23 May 2013 Particle flow inspired by Knothe-Rosenblatt transport for nonlinear filters
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Abstract
We derive a new algorithm for particle flow corresponding to Bayes’ rule that was inspired by Knothe- Rosenblatt transport, which is well known in transport theory. We emphasize that our flow is not Knothe- Rosenblatt transport, but rather it is a completely different algorithm for particle flow. In particular, we pick a nearly upper triangular Jacobian matrix, but the meaning of the word “Jacobian” as used here is completely different than used in Knothe-Rosenblatt transport.
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Fred Daum, Jim Huang, "Particle flow inspired by Knothe-Rosenblatt transport for nonlinear filters", Proc. SPIE 8745, Signal Processing, Sensor Fusion, and Target Recognition XXII, 87450O (23 May 2013); doi: 10.1117/12.2009365; https://doi.org/10.1117/12.2009365
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