Sequential MCMC with invertible particle flow

Abstract

Particle filters are among the most effective filtering algorithms for nonlinear and non-Gaussian models. When the state dimension is high, they are known to suffer from weight degeneracy. Sequential Markov chain Monte Carlo (SMCMC) methods have been proposed as an alternative sequential inference technique that can perform better in high dimensional state spaces. In this paper, we propose to construct a composite Metropolis-Hastings (MH) kernel within the SMCMC framework using invertible particle flow. Simulation results show that the proposed kernel significantly increases the acceptance rate and improves estimation accuracy compared with state-of-the-art filtering algorithms, in high dimensional simulation examples.