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math.OC2019
Asymptotically exact unweighted particle filter for manifold-valued hidden states and point process observations
Simone Carlo Surace, Anna Kutschireiter, Jean-Pascal Pfister
The filtering of a Markov diffusion process on a manifold from counting process observations leads to `large' changes in the conditional distribution upon an observed event, corres…
math.OC2019
Gauge Freedom within the Class of Linear Feedback Particle Filters
Ehsan Abedi, Simone Carlo Surace
Feedback particle filters (FPFs) are Monte-Carlo approximations of the solution of the filtering problem in continuous time. The samples or particles evolve according to a feedback…