A Drift Homotopy Implicit Particle Filter Method for Nonlinear Filtering problems

Abstract: In this paper, we develop a drift homotopy implicit particle filter method. The methodology of our approach is to adopt the concept of drift homotopy in the resampling procedure of the particle filter method for solving the nonlinear filtering problem, and we introduce an implicit particle filter method to improve the efficiency of the drift homotopy resampling procedure. Numerical experiments are carried out to demonstrate the effectiveness and efficiency of our drift homotopy implicit particle filter.