Paul Sundvall www.s3.kth.se/~pauls Presentation in course “Optimal filtering” Signals, Sensors and Systems, KTH November 11th 2004. An introduction to Particle filtering. Outline. Introduction Comparison with the Kalman filter Description of the algorithm Implementation Example.
The particle filter gives an approximate solution to an exact model, rather than the optimal solution to an approximate model.
One-step prediction of each particle
Note that a realization of the
process noise is used for every
Solved by resampling so that all weights become equal
is not a good choice for multimodal distributions!