Generalised Particle Filters with Gaussian Mixtures

Stochastic filtering is defined as the estimation of a partially observed dynamical system. A massive scientific and computational effort is dedicated to the development of numerical methods for approximating the solution of the filtering problem. Approximating the solution of the filtering problem with Gaussian mixtures has been a very popular method since the 1970s (see [1],[2],[46],[49]). Despite nearly fifty years of development, the existing work is based on the success of the numerical implementation and is not theoretically justified. This paper fills this gap and contains a rigorous analysis of a new Gaussian mixture approximation to the solution of the filtering problem. We deduce the L^2-convergence rate for the approximating system and show some numerical example to test the new algorithm.