A constrained particle filter for SDE-driven states with discrete observations enforces compact support via dynamics constraints, proves convergence and uniform error bounds, and is demonstrated on a stochastic Lorenz-96 system using barrier functions.
IE EE Transactions on Signal Processing 56(10), 5020–5030 (2008)
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On a class of constrained particle filters for continuous-discrete state space models
A constrained particle filter for SDE-driven states with discrete observations enforces compact support via dynamics constraints, proves convergence and uniform error bounds, and is demonstrated on a stochastic Lorenz-96 system using barrier functions.