Kouritzin, Michael A. and Sun, Wei (2004) Rates for Branching Particle Approximations of Continuous-Discrete Filters. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.
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Abstract
Herein, we analyze an efficient branching particle method for asymptotic solutions to a class of continuous-discrete filtering problems. Suppose that t → Xt is a Markov process and we wish to calculate the measure-valued process t →µt(∙) ≐ P(Xt ∉∙|σ{Ytk , tk ≤ t}), where tk = kε and Ytk is a distorted, corrupted, partial observation of Xtk. Then, one constructs a particle system with observation-dependent branching and n initial particles whose empirical measure at time t;µnt , closely approximates µt. Each particle evolves independently of the other particles according to the law of the signal between observation times tk, and branches with small probability at an observation time. For filtering problems where ε is very small, using the algorithm considered in this paper requires far fewer computations than other algorithms that branch or interact all particles regardless of the value of ε. We analyze the algorithm on Lévy-stable signals and give rates of convergence for E1/2[||µnt - µt||2√], ||∙ ||√ is a Sobolev norm, as well as related
convergence results.
| Divisions: | Concordia University > Faculty of Arts and Science > Mathematics and Statistics |
|---|---|
| Item Type: | Monograph (Technical Report) |
| Authors: | Kouritzin, Michael A. and Sun, Wei |
| Series Name: | Department of Mathematics & Statistics. Technical Report No. 12/04 |
| Corporate Authors: | Concordia University. Department of Mathematics & Statistics |
| Institution: | Concordia University |
| Date: | December 2004 |
| Keywords: | Filtering, reference probability measure method, branching particle approximations, rates of convergence, Fourier analysis |
| ID Code: | 6661 |
| Deposited By: | DIANE MICHAUD |
| Deposited On: | 02 Jun 2010 16:20 |
| Last Modified: | 18 Jan 2018 17:29 |
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