Particle flow inspired by Knothe-Rosenblatt transport for nonlinear filters

Fred Daum; Jim Huang

doi:10.1117/12.2009365

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23 May 2013 Particle flow inspired by Knothe-Rosenblatt transport for nonlinear filters

Fred Daum, Jim Huang

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Proceedings Volume 8745, Signal Processing, Sensor Fusion, and Target Recognition XXII; 87450O (2013) https://doi.org/10.1117/12.2009365
Event: SPIE Defense, Security, and Sensing, 2013, Baltimore, Maryland, United States

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 and 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); https://doi.org/10.1117/12.2009365

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