The marginalized auxiliary particle filter

• Published in: 2009 3rd IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing pp. 289 - 292
• Main Authors: Fritsche, C., Schon, T.B., Klein, A.
• Format: Conference Proceeding
• Language: English
• Published: IEEE 01.12.2009
• Subjects: Adaptive control; Aircraft; Auxiliary particle filter; Conferences; Dynamic systems; Electrical engineering; Electrical engineering, electronics and photonics; Elektroteknik; Elektroteknik, elektronik och fotonik; Filtering; Marginalized particle filter; Nonlinear filtering; Nonlinear filters; Particle filters; Programmable control; Sampling methods; State estimation; TECHNOLOGY; TEKNIKVETENSKAP; Telecommunication computing
• ISBN: 1424451795; 9781424451791; 9781424451807; 1424451809
• DOI: 10.1109/CAMSAP.2009.5413276

In this paper we are concerned with nonlinear systems subject to a conditionally linear, Gaussian sub-structure. This structure is often exploited in high-dimensional state estimation problems using the marginalized (aka Rao-Blackwellized) particle filter. The main contribution in the present work is to show how an efficient filter can be derived by exploiting this structure within the auxiliary particle filter. Based on a multi-sensor aircraft tracking example, the superior performance of the proposed filter over conventional particle filtering approaches is demonstrated.