Gaussian Particle Filtering for Nonlinear Systems With Heavy-Tailed Noises: A Progressive Transform-Based Approach
Wen‐An Zhang, Jie Zhang, Ling Shi, Xusheng Yang
Abstract
The Gaussian particle filter (GPF) is a type of particle filter that employs the Gaussian filter approximation as the proposal distribution. However, the linearization errors are introduced during the calculation of the proposal distribution. In this article, a progressive transform-based GPF (PT-GPF) is proposed to solve this problem. First, a progressive transformation is applied to the measurement model to circumvent the necessity of linearization in the calculation of the proposal distribution, thereby ensuring the generation of optimal Gaussian proposal distributions in sense of linear minimum mean-square error (LMMSE). Second, to mitigate the potential impact of outliers, a supplementary screening process is employed to enhance the Monte Carlo approximation of the posterior probability density function. Finally, simulations of a target tracking example demonstrate the effectiveness and superiority of the proposed method.