A General Convergence Result for Particle Filtering
Xiaoli Hu, Thomas B. Schön, Lennart Ljung · IEEE Transactions on Signal Processing · 2011
The particle filter has become an important tool in solving nonlinear filtering problems for dynamic systems. This correspondence extends our recent work, where we proved that the particle filter converges for unbounded functions, usingL4-convergence. More specifically, the present contribution is that we prove that the particle filter converge for unbounded functions in the sense ofLp-convergence, for an arbitraryp≥ 2.