Abstract
In this article we introduce a new Gaussian proposal distribution to be used in conjunction with the sequential Monte Carlo (SMC) method for solving non-linear filtering problems. The proposal, in line with the recent trend, incorporates the current observation. The introduced proposal is characterized by the exact moments obtained from the dynamical system. This is in contrast with recent works where the moments are approximated either numerically or by linearizing the observation model. We show further that the newly introduced proposal performs better than other similar proposal functions which also incorporate both state and observations.
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This work was supported by a research grant from THALES Nederland BV.
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Open Access This is an open access article distributed under the terms of the Creative Commons Attribution Noncommercial License (https://creativecommons.org/licenses/by-nc/2.0), which permits any noncommercial use, distribution, and reproduction in any medium, provided the original author(s) and source are credited.
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Saha, S., Mandal, P.K., Boers, Y. et al. Gaussian proposal density using moment matching in SMC methods. Stat Comput 19, 203–208 (2009). https://doi.org/10.1007/s11222-008-9084-9
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DOI: https://doi.org/10.1007/s11222-008-9084-9