The Annals of Applied Probability

Analysis of error propagation in particle filters with approximation

Boris N. Oreshkin and Mark J. Coates

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Abstract

This paper examines the impact of approximation steps that become necessary when particle filters are implemented on resource-constrained platforms. We consider particle filters that perform intermittent approximation, either by subsampling the particles or by generating a parametric approximation. For such algorithms, we derive time-uniform bounds on the weak-sense Lp error and present associated exponential inequalities. We motivate the theoretical analysis by considering the leader node particle filter and present numerical experiments exploring its performance and the relationship to the error bounds.

Article information

Source
Ann. Appl. Probab., Volume 21, Number 6 (2011), 2343-2378.

Dates
First available in Project Euclid: 23 November 2011

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1322057324

Digital Object Identifier
doi:10.1214/11-AAP760

Mathematical Reviews number (MathSciNet)
MR2895418

Zentralblatt MATH identifier
1231.62174

Subjects
Primary: 62L12: Sequential estimation 65C35: Stochastic particle methods [See also 82C80] 65L20: Stability and convergence of numerical methods

Keywords
Collaborative tracking particle filtering error analysis

Citation

Oreshkin, Boris N.; Coates, Mark J. Analysis of error propagation in particle filters with approximation. Ann. Appl. Probab. 21 (2011), no. 6, 2343--2378. doi:10.1214/11-AAP760. https://projecteuclid.org/euclid.aoap/1322057324


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