Analysis of error propagation in particle filters with approximation

TitleAnalysis of error propagation in particle filters with approximation
Publication TypeJournal Article
Year of Publication2011
AuthorsOreshkin, B. N., and M. J. Coates
JournalThe Annals of Applied Probability
Volume21
Issue6
Pagination2343-2378
Date Published01/2011
KeywordsCollaborative distributed tracking, error analysis, particle filtering
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.

URLhttp://www.tsp.ece.mcgill.ca/Networks/projects/pdf/oreshkin_TechReport09a.pdf
DOI10.1214/11-AAP760
Refereed DesignationRefereed