Augmented Particle Filters
增广粒子滤波
Particle filters have been widely used for online filtering problems in state–space models (SSMs). The current available proposal distributions depend either only on the state dynamics, or only on the observation, or on both sources of information but are not available for general SSMs. In this article, we develop a new particle filtering algorithm, called the augmented particle filter (APF), for online filtering problems in SSMs. The APF combines two sets of particles from…