How the next-state samples are generated

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Reference no: EM131854992

Problem

One of the problems with the particle filtering algorithm is that it uses only the observations obtained so far to select the samples that we continue to propagate. In many cases, the "right" choice of samples at time t is not clear based on the evidence up to time t, but it manifests a small number of time slices into the future. By that time, however, the relevant samples may have been eliminated in favor of ones that appeared (based on the limited evidence available) to be better. In this problem, your task is to extend the particle filtering algorithm to deal with this problem. More precisely, assume that the relevant evidence usually manifests within k time slices (for some small k). Consider performing the particle-filtering algorithm with a lookahead of k time slices rather than a single time slice. Present the algorithm clearly and mathematically, specifying exactly how the weights are computed and how the next-state samples are generated. Briefly explain why your algorithm is sampling from (roughly) the right distribution (right in the same sense that standard particle filtering is sampling from the right distribution). For simplicity of notation, assume that the process is structured as a state-observation model.

Reference no: EM131854992

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