APPROACES TO THE IMPORTANCE DENSITY CHOICE IN PARTICLE FILTERS

Abstract

There are spent three methods of importance density choice (Gaussian, kvasi-Gaussian and modified kvasi-Gaussian) for posterior density approximation using Monte Carlo numerical integration method and considered comparing Kalman filter and Particle Filter implementation in the report.

Keywords

• значимая плотность вероятности (importance density)
• метод монте-карло
• обобщенный фильтр частиц (particle filter)
• фильтр калмана