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arXiv · 1903.06689

Gauge Freedom within the Class of Linear Feedback Particle Filters

Ehsan Abedi·Simone Carlo Surace
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Abstract

Feedback particle filters (FPFs) are Monte-Carlo approximations of the solution of the filtering problem in continuous time. The samples or particles evolve according to a feedback control law in order to track the posterior distribution. However, it is known that by itself, the requirement to track the posterior does not lead to a unique algorithm. Given a particle filter, another one can be constructed by applying a time-dependent transformation of the particles that keeps the posterior distribution invariant. Here, we characterize this gauge freedom within the class of FPFs for the linear-Gaussian filtering problem, and thereby extend previously known parametrized families of linear FPFs.

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Ehsan Abedi, Simone Carlo Surace. 2019-03-15. Gauge Freedom within the Class of Linear Feedback Particle Filters. https://arxiv.org/abs/1903.06689

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