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2009 3rd IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP)

DOI: 10.1109/camsap.2009.5413276

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The marginalized auxiliary particle filter

Proceedings article published in 2009 by Carsten Fritsche, Thomas B. Schon ORCID, Anja Klein
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This paper is available in a repository.

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Abstract

In this paper we are concerned with nonlinear systems subject to a conditionally linear, Gaussian sub-structure. This structure is often exploited in high-dimensional state estimation problems using the marginalized (aka Rao-Blackwellized) particle filter. The main contribution in the present work is to show how an efficient filter can be derived by exploiting this structure within the auxiliary particle filter. Based on a multi-sensor aircraft tracking example, the superior performance of the proposed filter over conventional particle filtering approaches is demonstrated.