Abstract / Description of output
Particle filtering is a widely used sequential methodology that approximates probability distributions by using discrete random measures composed of weighted particles. A large number of particles improves the quality of the approximation but increases the computational requirements. Although there exists an abundant variety of particle filtering algorithms in the literature, there is lack of work devoted to selecting or adapting the number of particles systematically. In this paper we propose a novel methodology for online assessment of convergence of particle filtering. Based on theoretical analysis of the assessment, we propose an algorithm for the adaptation of the number of particles in online manner. The performance of the proposed algorithm is demonstrated for two state-space models.
Original language | English |
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Title of host publication | 2016 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016 - Proceedings |
Publisher | Institute of Electrical and Electronics Engineers |
Pages | 4378-4382 |
Number of pages | 5 |
Volume | 2016-May |
ISBN (Electronic) | 9781479999880 |
DOIs | |
Publication status | Published - 18 May 2016 |
Event | 41st IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016 - Shanghai, China Duration: 20 Mar 2016 → 25 Mar 2016 |
Conference
Conference | 41st IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016 |
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Country/Territory | China |
City | Shanghai |
Period | 20/03/16 → 25/03/16 |
Keywords / Materials (for Non-textual outputs)
- adaptive complexity
- computational complexity
- convergence analysis
- convergence assessment
- Particle filtering
- predictive distribution
- sequential Monte Carlo