A survey of convergence results on particle filtering methods for practitioners

@article{Crisan2002ASO,
  title={A survey of convergence results on particle filtering methods for practitioners},
  author={Dan Crisan and A. Doucet},
  journal={IEEE Trans. Signal Process.},
  year={2002},
  volume={50},
  pages={736-746}
}
Optimal filtering problems are ubiquitous in signal processing and related fields. Except for a restricted class of models, the optimal filter does not admit a closed-form expression. Particle filtering methods are a set of flexible and powerful sequential Monte Carlo methods designed to. solve the optimal filtering problem numerically. The posterior distribution of the state is approximated by a large set of Dirac-delta masses (samples/particles) that evolve randomly in time according to the… 
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