Stability and Convergence of Stochastic Particle Flow Filters

Liyi Dai; Fred Daum

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arXiv · 2108.05255

Stability and Convergence of Stochastic Particle Flow Filters

Liyi Dai·Fred Daum

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Abstract

In this paper, we examine dynamic properties of particle flows for a recently derived parameterized family of stochastic particle flow filters for nonlinear filtering and Bayesian inference. In particular, we establish that particles maintain desired posterior distribution without the Gaussian assumption on measurement likelihood. Adopting the concept of Lyapunov stability, we further show that particles stay close but do not converge to the maximum likelihood estimate of the posterior distribution. The results demonstrate that stability of particle flows is maintained for this family of stochastic particle flow filters.

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Liyi Dai, Fred Daum. 2021-08-11. Stability and Convergence of Stochastic Particle Flow Filters. https://arxiv.org/abs/2108.05255

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