Particle filter for tracking linear Gaussian target with nonlinear observations
Augustine Tze Yik Ooi, Arnaud Doucet, Ba‐Ngu Vo, Branko Ristić · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE · 2003
In this paper, a solution to the TENET nonlinear filtering challenge is presented. The proposed approach is based on particle filtering techniques. Particle methods have already been used in this context but our method improves over previous work in several ways: better importance sampling distribution, variance reduction through Rao-Blackwellisation etc. We demonstrate the efficiency of our algorithm through simulation.