Continuous Time Particle Filtering

  title={Continuous Time Particle Filtering},
  author={Brenda Ng and Avi Pfeffer and Richard Dearden},
We present the continuous-time particle filter (CTPF) – an extension of the discrete-time particle filter for monitoring continuous-time dynamic systems. Our methods apply to hybrid systems containing both discrete and continuous variables. The dynamics of the discrete state system are governed by a Markov jump process. Observations of the discrete process are intermittent and irregular. Whenever the discrete process is observed, CTPF samples a trajectory of the underlying Markov jump process… CONTINUE READING
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