BIMSA > Seminar on Control Theory and Nonlinear Filtering A Stable Particle Filter in High Dimensions
A Stable Particle Filter in High Dimensions
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Tuesday, February 21, 2023 9:00 PM - 9:30 PM
Venue
Online
Abstract
In this talk, we will discuss a paper entitled 'A Stable Particle Filter in High Dimensions' by Beskos et al. In this paper, the authors develop a new particle filter called 'space-time particle filter' for a specific family of state space models in discrete time. This algorithm exhibits certain stable properties with a cost only polynomially increase with the dimension of the filtering system. We will mainly focus on the theoretical convergence results of this algorithm.