Optimal proposal densities for particle filters

Add to your list(s) Download to your calendar using vCal

• Peter Jan van Leeuwen, Prof in Data Assimilation, Department of Meteorology, University of Reading
• Wednesday 25 January 2012, 14:15-15:00
• LR4, Engineering, Department of.

If you have a question about this talk, please contact Rachel Fogg.

In this talk, we discuss why the so-called ‘optimal proposal density’in particle filtering is not efficient when the number of independent observations is large. Two new methods for constructing proposal densities are introduced that ensure that all or most of the particles end up in the high probability regions with similar weights. These similar weights opens up the field of efficient particle filtering in high-dimensional systems. Applications to simple systems and a high-dimensional highly nonlinear fluid-dynamics problem (the barotropic vorticity equation) will be discussed.

This talk is part of the Signal Processing and Communications Lab Seminars series.

This talk is included in these lists:

• All Talks (aka the CURE list)
• Cambridge Centre for Data-Driven Discovery (C2D3)
• Cambridge University Engineering Department Talks
• Cambridge talks
• Centre for Smart Infrastructure & Construction
• Chris Davis' list
• Computational Continuum Mechanics Group Seminars
• Featured lists
• Information Engineering Division seminar list
• Interested Talks
• LR4, Engineering, Department of
• School of Technology
• Signal Processing and Communications Lab Seminars
• Trust & Technology Initiative - interesting events
• bld31
• ndk22's list
• ob366-ai4er
• rp587

Note that ex-directory lists are not shown.