Bandwidth adaption for kernel particle filter
A novel particle filter bandwidth adaption for kernel particle filter (BAKPF) is proposed. Selection of the kernel bandwidth is a critical issue in kernel density estimation (KDE). The plug-in method is adopted to get the global fixed bandwidth byoptimizing the asymptotic mean integrated squared error (AMISE) firstly. Then, particle-driven bandwidth selection is invoked in the KDE. To get a more effective allocation of the particles, the KDE with adaptive bandwidth in the BAKPF is used to approximate the posterior probability density function (PDF) by moving particles toward the posterior. A closed-form expression of the true distribution is given. The simulation results show that the proposed BAKPF performs better than the standard particle filter (PF), unscented particle filter (UPF) and the kernel particle filter (KPF) both in efficiency and estimation precision.