398 citations · 576 across the 2 of their papers we have counts for
2 papers
math.ST2008★ 178 cited
Sharp failure rates for the bootstrap particle filter in high dimensions
Peter Bickel, Bo Li, Thomas Bengtsson
We prove that the maximum of the sample importance weights in a high-dimensional Gaussian particle filter converges to unity unless the ensemble size grows exponentially in the sys…
math.ST2008★ 398 cited
Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems
Thomas Bengtsson, Peter Bickel, Bo Li
It has been widely realized that Monte Carlo methods (approximation via a sample ensemble) may fail in large scale systems. This work offers some theoretical insight into this phen…