Can I read Asymptotically Exact Unweighted Particle Filter for Manifold-valued Hidden States and Point Process Observations on EtoBox?

Asymptotically Exact Unweighted Particle Filter for Manifold-valued Hidden States and Point Process Observations by Surace, Simone Carlo; Kutschireiter, Anna; Pfister, Jean-Pascal is a scholarly article available to read on EtoBox.

What is Asymptotically Exact Unweighted Particle Filter for Manifold-valued Hidden States and Point Process Observations about?

The filtering of a Markov diffusion process on a manifold from counting process observations leads to `large' changes in the conditional distribution upon an observed event, corresponding to a multiplication of the density by the intensity function of the observation process. If that distribution is represented by unweighted samples or particles, they need to be jointly transformed such that they sample from the modified distribution. In previous work, this transformation has been approximated by a translation of all the particles by a common vector. However, such an operation is ill-defined on a manifold, and on a vector space, a constant gain can lead to a wrong estimate of the uncertainty over the hidden state. Here, taking inspiration from the feedback particle filter (FPF), we derive an asymptotically exact filter (called ppFPF) for point process observations, whose particles evolve according to intrinsic (i.e. parametrization-invariant) dynamics that are composed of the dynamics of the hidden state plus additional control terms. While not sharing the gain-times-error structure of the FPF, the optimal control terms are expressed as solutions to partial differential equations a

Author

Surace, Simone Carlo; Kutschireiter, Anna; Pfister, Jean-Pascal

Published

2019

Language

EN