2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information

2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information
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Paper Detail

Paper IDSPTM-23.3
Paper Title BLOCK KALMAN FILTER: AN ASYMPTOTIC BLOCK PARTICLE FILTER IN THE LINEAR GAUSSIAN CASE
Authors Rui Min, University of Lille, France; Christelle Garnier, IMT Lille Douai, France; François Septier, University of Bretagne Sud, France; John Klein, University of Lille, France
SessionSPTM-23: Bayesian Signal Processing
LocationGather.Town
Session Time:Friday, 11 June, 14:00 - 14:45
Presentation Time:Friday, 11 June, 14:00 - 14:45
Presentation Poster
Topic Signal Processing Theory and Methods: [SSP] Statistical Signal Processing
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Abstract The curse of dimensionality in particle filtering can be mitigated by approximating the posterior distribution by a product of marginals on disjoint low dimensional subspaces of the state space. One such approach is known as the block particle filter in which the correction and resampling steps in particle filtering are run separately for estimating each marginal. In the linear and Gaussian case, the particle filter converges to the optimal Bayesian solution, i.e. the Kalman filter, as the number of particle increases. In this paper, we introduce the block based approach in the Kalman filter and show that the block particle filter asymptotically acts as the resulting block Kalman filter. It provides a relevant framework to disambiguate the bias incurred by the blocking step from the Monte Carlo estimation error.