Particle Filters for Infinite (or Large) Dimensional State Spaces- Part 1
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Abstract
We propose particle filtering algorithms for tracking on infinite (or large) dimensional state spaces. We consider the general case where state space may not be a vector space, we assume it to be a separable metric space (Polish space). In implementation, any such space is approximated by a finite but large dimensional vector, whose dimension may vary at every time. Monte Carlo sampling from a large dimensional system noise distribution is computationally expensive. Also, the number of particles required for accurate particle filtering increases with the number of independent dimensions of the system noise, making particle filtering even more expensive. But as long as the number of independent system noise dimensions is small, even if the total state space dimension is very large, a particle filtering algorithm can be implemented. In most large dim applications, it is fair to assume that "most of the state change" occurs in a small dimensional basis, which may be fixed or slowly time varying (approximated as piecewise constant). We use this assumption to propose efficient PF algorithms. These are analyzed and extended in N. Vaswani, (2006)
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2006-05
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