Particle smoothing via Markov chain Monte Carlo in general state space models Online publication date: Mon, 30-Apr-2018
by Meng Gao; Hui Zhang
International Journal of Computing Science and Mathematics (IJCSM), Vol. 9, No. 2, 2018
Abstract: Sequential Monte Carlo (SMC) methods (also known as particle filter) provide a way to solve the state estimation problem in nonlinear non-Gaussian state space models (SSM) through numerical approximation. Particle smoothing is one retrospective state estimation method based on particle filtering. In this paper, we propose a new particle smoother. The basic idea is easy and leads to a forward-backward procedure, where the Metropolis-Hastings algorithm is used to resample the filtering particles. The goodness of the new scheme is assessed using a nonlinear SSM. It is concluded that this new particle smoother is suitable for state estimation in complicated dynamical systems.
Online publication date: Mon, 30-Apr-2018
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