Gaussian proposal density using moment matching in SMC methods

Authors:
S. Saha;P. K. Mandal;Y. Boers;H. Driessen;A. Bagchi
Affiliations:
Department of Applied Mathematics, University of Twente, Enschede, The Netherlands 7500 AE;Department of Applied Mathematics, University of Twente, Enschede, The Netherlands 7500 AE;THALES Nederland BV, Hengelo, The Netherlands 7554 PA;THALES Nederland BV, Hengelo, The Netherlands 7554 PA;Department of Applied Mathematics, University of Twente, Enschede, The Netherlands 7500 AE
Venue:
Statistics and Computing
Year:
2009

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Abstract

In this article we introduce a new Gaussian proposal distribution to be used in conjunction with the sequential Monte Carlo (SMC) method for solving non-linear filtering problems. The proposal, in line with the recent trend, incorporates the current observation. The introduced proposal is characterized by the exact moments obtained from the dynamical system. This is in contrast with recent works where the moments are approximated either numerically or by linearizing the observation model. We show further that the newly introduced proposal performs better than other similar proposal functions which also incorporate both state and observations.