Analysis of error propagation in particle filters with approximation

TitleAnalysis of error propagation in particle filters with approximation
Publication TypeReport
Year of Publication2009
AuthorsOreshkin, B. N., and M. J. Coates
Date Published08/2009
InstitutionDepartment of Electrical and Computer Engineering, McGill University
CityMontreal, QC, Canada
TypeTechnical Report
KeywordsCollaborative distributed tracking, error analysis, particle filtering

This paper examines the impact of approximation steps that become necessary when particle filters are im- plemented 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.

Refereed DesignationDoes Not Apply
oreshkin_TechReport09a.pdf414.62 KB