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Citation

Šimandl, M. and Straka, O. : Setting sample size in particle filters using Cramer-Rao bound . Nonlinear control systems 2001 (NOLCOS 2001), p. 681-686, IFAC, Oxford, 2002.

Abstract

Particle filter solution of state estimation for stochastic nonlinear system is addressed. Aspects of particle filter are discussed and attention is devoted namely to crucial parameter of the filter - sample size. The way of determination of sufficient sample size in particle filter is proposed. The mean square error matrices of particle filter state estimates are compared for different sample sizes and the computational demands of the filter are discussed as well. To assist in setting sample size and for filter quality evaluation, the Cramer Rao bound is used. The designed procedure is illustrated by a numerical example.

Detail of publication

Title: Setting sample size in particle filters using Cramer-Rao bound
Author: Šimandl, M. ; Straka, O.
Language: English
Date of publication: 4 Jul 2001
Year: 2002
Type of publication: Papers in proceedings of reviewed conferences
Title of journal or book: Nonlinear control systems 2001 (NOLCOS 2001)
Page: 681 - 686
ISBN: 0-08-043560 2
Publisher: IFAC
Address: Oxford
Date: 4 Jul 2001 - 6 Jul 2001
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Keywords

Particle filter, nonlinear filters, Cramer-Rao bound, mean-square error

BibTeX

@INPROCEEDINGS{SimandlM_2002_Settingsamplesize,
 author = {\v{S}imandl, M. and Straka, O.},
 title = {Setting sample size in particle filters using Cramer-Rao bound},
 year = {2002},
 publisher = {IFAC},
 journal = {Nonlinear control systems 2001 (NOLCOS 2001)},
 address = {Oxford},
 pages = {681-686},
 ISBN = {0-08-043560 2},
 url = {http://www.kky.zcu.cz/en/publications/SimandlM_2002_Settingsamplesize},
}