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Nonlinear state space smoothing using the conditional particle filter (1502.03697v3)
Published 12 Feb 2015 in stat.CO, cs.SY, and math.OC
Abstract: To estimate the smoothing distribution in a nonlinear state space model, we apply the conditional particle filter with ancestor sampling. This gives an iterative algorithm in a Markov chain Monte Carlo fashion, with asymptotic convergence results. The computational complexity is analyzed, and our proposed algorithm is successfully applied to the challenging problem of sensor fusion between ultra-wideband and accelerometer/gyroscope measurements for indoor positioning. It appears to be a competitive alternative to existing nonlinear smoothing algorithms, in particular the forward filtering-backward simulation smoother.