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11 - Particle Filter

Published online by Cambridge University Press:  27 July 2023

Daniel Sanz-Alonso
Affiliation:
University of Chicago
Andrew Stuart
Affiliation:
California Institute of Technology
Armeen Taeb
Affiliation:
University of Washington
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Summary

This chapter is devoted to the particle filter, a method that approximates the filtering distribution by a sum of Dirac masses. Particle filters provably converge to the filtering distribution as the number of particles, and hence the number of Dirac masses, approaches infinity. We focus on the bootstrap particle filter (BPF), also known as sequential importance resampling; it is linked to the material on Monte Carlo and importance sampling described in Chapter 5.

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Publisher: Cambridge University Press
Print publication year: 2023

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