Avoiding degeneracy is a crucial challenge for particle filters. Results have shown that the number of particles scales exponentially with respect to the number of independent observations. In this talk I will review attempts to counteract this phenomenon by exploiting proposal densities. I will put special emphasis to the Equivalent Weight Particle Filter (van Leeuwen, 2010), the Implicit Particle Filter (Chorin and Tu,2010), and culminate with the merging of ideas from these two into the Targeted Implicit Particle filter of (Amezcua and van Leeuwen, 2015).
This talk was given on 4-16-15.
- guest lecture
- data assimilation
- particle filter