Conference Paper (international conference)
serial: Proceedings of the 13th International Conference on Information Fusion
action: 13th International Conference on Information Fusion, (Edinburgh, GB, 26.07.2010-29.07.2010)
keywords: marginalized particle filter, unknown noise statistics, bayesian conjugate prior
The particle ﬁlter provides a general solution to the nonlinear ﬁltering problem with arbitrarily accuracy. However, the curse of dimensionality prevents its application in cases where the state dimensionality is high. Further, estimation of stationary parameters is a known challenge in a particle ﬁlter framework. We suggest a marginalization approach for the case of unknown noise distribution parameters that avoid both aforementioned problem. First, the standard approach of augmenting the state vector with sensor oﬀsets and scale factors is avoided, so the state dimension is not increased. Second, the mean and covariance of both process and measurement noises are represented with parametric distributions, whose statistics are updated adaptively and analytically using the concept of conjugate prior distributions. The resulting marginalized particle ﬁlter is applied to and illustrated with a standard example from literature.