Robust auxiliary particle filters using multiple importance sampling


A poor choice of importance density can have detrimental effect on the efficiency of a particle filter. While a specific choice of proposal distribution might be close to optimal for certain models, it might fail miserably for other models, possibly even leading to infinite variance. In this paper we show how mixture sampling techniques can be used to… (More)
DOI: 10.1109/SSP.2014.6884627


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