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Citation

Straka, O. and Šimandl, M. : Using the Bhattacharyya distance in functional sampling density of particle filter . Proceedings of the 16th IFAC World Congress, vol. 1, p. 1006-1011, Elsevier, Oxford, 2006.

Abstract

The particle filter for nonlinear state estimation of discrete time dynamic stochastic systems is treated. The functional sampling density of the particle filter strongly affecting estimate quality is studied. The density is given by weighted mixture of the transition probability density functions. The weights are calculated using distance of two reference variable probability density functions representing prior and measurement information. The aim is to find a suitable distance that does not suffer from problems with its numerical computation and that can be computed for a large set of systems analytically. It seems that the Bhattacharyya distance is feasible for evaluation of such a distance. Quality and computational demands of the functional particle filter with primary weights computed using the Bhattacharyya distance are illustrated in a numerical example.

Detail of publication

Title: Using the Bhattacharyya distance in functional sampling density of particle filter
Author: Straka, O. ; Šimandl, M.
Language: English
Date of publication: 3 Jul 2005
Year: 2006
Type of publication: Book Chapters
Title of journal or book: Proceedings of the 16th IFAC World Congress
Číslo vydání: 1
Page: 1006 - 1011
ISBN: 0-08-045108-X
Publisher: Elsevier
Address: Oxford
Date: 3 Jul 2005 - 8 Jul 2005
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Keywords

Nonlinear systems, state estimation, particle filtering, Monte Carlo method, , probability density function, Bhattacharyya distance

BibTeX

@INBOOK{StrakaO_2006_Usingthe,
 author = {Straka, O. and \v{S}imandl, M.},
 title = {Using the Bhattacharyya distance in functional sampling density of particle filter},
 year = {2006},
 publisher = {Elsevier},
 journal = {Proceedings of the 16th IFAC World Congress},
 address = {Oxford},
 volume = {1},
 pages = {1006-1011},
 ISBN = {0-08-045108-X},
 url = {http://www.kky.zcu.cz/en/publications/StrakaO_2006_Usingthe},
}