Optimal proposal densities for particle filters

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• 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.

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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.

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