A New Particle Filter Guided by Iterated EKF

Abstract

A particle filter guided by iterated extended Kalman filter (IEGPF) is proposed to solve the problem of particle impoverishment. Firstly, particles are divided into two groups adaptively according to the maximum likelihood ratio, which is defined to measure how well the particles, drawn from transition prior density, match the likelihood model. Particles in one group are drawn from transition prior density, while those in the other group are drawn from the Gaussian approximate posterior density, obtained by running an iterated extended Kalman filter (IEKF). The results of numerical simulations, conducted at different observation noise level, show that IEGPF can produce more accurate estimate than extended Kalman particle filter (EPF) and unscented Kalman particle filter (UPF), whereas the computational cost is comparable to that of SIR.