The particle filter offers a general numerical tool to approximate the posterior density function for the state in nonlinear and non-Gaussian filtering problems. While the particle filter is fairly easy to implement and tune, its main drawback is that it is quite computer intensive, with the computational complexity increasing quickly with the state dimension. One remedy to this problem is to marginalize out the states appearing linearly in the dynamics. The result is that one Kalman filter is associated with each particle. The main contribution in this paper is the derivation of the details for the marginalized particle filter for a general nonlinear state-space model. Several important special cases occurring in typical signal processing applications will also be discussed. The marginalized particle filter is applied to an integrated navigation system for aircraft. It is demonstrated that the complete high-dimensional system can be based on a particle filter using marginalization for all but three states. Excellent performance on real flight data is reported.


    Zugriff

    Zugriff über TIB

    Verfügbarkeit in meiner Bibliothek prüfen

    Bestellung bei Subito €


    Exportieren, teilen und zitieren



    Titel :

    Marginalized particle filters for mixed linear/nonlinear state-space models


    Beteiligte:
    Schon, T. (Autor:in) / Gustafsson, F. (Autor:in) / Nordlund, P.J. (Autor:in)

    Erschienen in:

    Erscheinungsdatum :

    2005


    Format / Umfang :

    11 Seiten, 37 Quellen




    Medientyp :

    Aufsatz (Zeitschrift)


    Format :

    Print


    Sprache :

    Englisch




    Marginalized particle PHD filters for multiple object Bayesian filtering

    Petetin, Yohan / Morelande, Mark / Desbouvries, Francois | IEEE | 2014



    Three-Degree-of-Freedom Estimation of Agile Space Objects Using Marginalized Particle Filters

    Coder, Ryan D. / Holzinger, Marcus J. / Linares, Richard | AIAA | 2017


    The marginalized particle filter in practice

    Schon, T.B. / Karlsson, R. / Gustafsson, F. | IEEE | 2006