Analysis of error propagation in particle filters with approximation

Details Analysis of error propagation in particle filters with approximation Analysis of error propagation in particle filters with approximation

2009-08-20

arxiv.org/abs/0908.2926v3

Annals of Applied Probability 2011, Vol. 21, No. 6, 2343-2378

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/11-AAP760 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst

Scientific paper

10.1214/11-AAP760

This paper examines the impact of approximation steps that become necessary when particle filters are implemented 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 $L_p$ 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.

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