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Proceedings Paper

Nonlinear filtering with quasi-Monte Carlo methods
Author(s): Fred E Daum; Jim Huang
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Paper Abstract

We describe a new hybrid particle filter that has two novel features: (1) it uses quasi-Monte Carlo samples rather than the conventional Monte Carlo sampling, and (2) it implements Bayes’ rule exactly using smooth densities from the exponential family. Theory and numerical experiments over the last decade have shown that quasi-Monte Carlo sampling is vastly superior to Monte Carlo samples for certain high dimensional integrals, and we exploit this fact to reduce the computational complexity of our new particle filter. The main problem with conventional particle filters is the curse of dimensionality. We mitigate this issue by avoiding particle depletion, by implementing Bayes’ rule exactly using smooth densities from the exponential family.

Paper Details

Date Published: 5 January 2004
PDF: 22 pages
Proc. SPIE 5204, Signal and Data Processing of Small Targets 2003, (5 January 2004); doi: 10.1117/12.497574
Show Author Affiliations
Fred E Daum, Raytheon Co. (United States)
Jim Huang, Raytheon Co. (United States)


Published in SPIE Proceedings Vol. 5204:
Signal and Data Processing of Small Targets 2003
Oliver E. Drummond, Editor(s)

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