Conditional importance sampling for particle filters

doi:10.1016/j.ins.2019.06.026

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	Conditional importance sampling for particle filters
	Zhang, Qingming 1,2; Shi, Buhai 1; Zhang, Yuhao 3
	2019-10-01
发表期刊	INFORMATION SCIENCES
ISSN	0020-0255
卷号	501 页码:388-396
摘要	In this paper, we present a new importance sampling method, namely the conditional importance sampling (CIS). This new method uses a conditional density as a proposal density and exploits rejection sampling, adaptively neglecting samples whose importance weights are relatively low. The CIS improves the efficiency of estimation without creating bias. We apply the CIS to the bootstrap filter to obtain a new algorithm, named the conditional bootstrap filter, which achieves higher estimation efficiency than the bootstrap filter and shows advantages over some other filters in our simulations. (C) 2019 Elsevier Inc. All rights reserved.
关键词	Importance sampling Conditional density Variance of importance weights Effective sample size Particle filter
DOI	10.1016/j.ins.2019.06.026
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Information Systems
WOS记录号	WOS:000480663900023
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35389
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, Qingming
作者单位	1.South China Univ Technol, Sch Automat Sci & Engn, Guangzhou 510641, Guangdong, Peoples R China 2.Guizhou Minzu Univ, Sch Data Sci & Informat Engn, Guiyang 550025, Guizhou, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Qingming,Shi, Buhai,Zhang, Yuhao. Conditional importance sampling for particle filters[J]. INFORMATION SCIENCES,2019,501:388-396.
APA	Zhang, Qingming,Shi, Buhai,&Zhang, Yuhao.(2019).Conditional importance sampling for particle filters.INFORMATION SCIENCES,501,388-396.
MLA	Zhang, Qingming,et al."Conditional importance sampling for particle filters".INFORMATION SCIENCES 501(2019):388-396.