Particle Flow Gaussian Sum Particle Filter

Abstract

The particle flow Gaussian particle filter (PFGPF) uses an invertible particle flow to generate a proposal density. It approximates the predictive and posterior distributions as Gaussian densities. In this paper, we use a bank of PFGPF filters to construct a Particle flow Gaussian sum particle filter (PFGSPF), which approximates the prediction and posterior as Gaussian mixture model. This approximation is useful in complex estimation problems where a single Gaussian approximation is inadequate. We compare the performance of this proposed filter with the PFGPF and others in challenging numerical simulations.