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.
Tech- nical Report Cambridge University (CUED/FINFENG/TR381) ( 2000)
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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.