Uniform time average consistency of Monte Carlo particle filters

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:119

Article

van Handel, Ramon

关键词: Nonlinear filter;    Uniform convergence;    Interacting particles;    Bootstrap Monte Carlo filter;   

DOI  :  10.1016/j.spa.2009.09.004

来源: Elsevier

【 摘 要 】

We prove that bootstrap-type Monte Carlo particle filters approximate the optimal nonlinear filter in a time average sense uniformly with respect to the time horizon when the signal is ergodic and the particle system satisfies a tightness property. The latter is satisfied without further assumptions when the signal state space is compact, as well as in the noncompact setting when the signal is geometrically ergodic and the observations satisfy additional regularity assumptions. (C) 2009 Elsevier B.V. All rights reserved.

【 授权许可】

Free