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Improving Particle Filter with Better Proposal Distribution for Nonlinear Filtering Problems

  • Fasheng Wang
  • Xucheng Li
  • Mingyu Lu
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7992)

Abstract

Designing better proposal distributions can greatly affect the performance of the particle filters, which has been extensively studied in the literature. In this paper, we propose to design better proposal distribution using a new version of unscented Kalman filter- the iterated unscented Kalman filter (IUKF). The IUKF makes use of both statistical and analytical linearization techniques in different steps of the filtering process, which makes it a better candidate for designing proposal distribution in particle filter framework. Each particle is updated using an iterative manner. Through this process, the algorithm can make better use of the current observation for state estimation. To evaluate the performance of the proposed particle filter, we use a synthetic model and a real-world model for the experiments. The experimental results have shown that the proposed algorithm outperforms the alternatives.

Keywords

Particle Filter Proposal Distribution Iterated Unscented Kalman filter Option Pricing 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Fasheng Wang
    • 1
    • 2
  • Xucheng Li
    • 1
    • 2
  • Mingyu Lu
    • 1
  1. 1.School of Information Science and TechnologyDalian Maritime UniversityDalianChina
  2. 2.Dept. of Compt. Sci. and Techn.Dalian Neusoft Univ. of Inform.DalianChina

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