Journal article

Optimisation of particle filters using simultaneous perturbation stochastic approximation

Abstract:: This paper addresses the optimisation of particle filtering methods aka Sequential Monte Carlo (SMC) methods using stochastic approximation. First, the SMC algorithm is parameterised smoothly by a parameter. Second, optimisation of an average cost function is performed using Simultaneous Perturbation Stochastic Approximation (SPSA). Simulations demonstrate the efficiency of our algorithm.

Publication status:: Published

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APA Style

Chan, T., Doucet, A., Tadic, V., IEEE, IEEE, & IEEE. (2003). Optimisation of particle filters using simultaneous perturbation stochastic approximation. 2003 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOL VI, PROCEEDINGS, 6, 681–684.

MLA Style

Chan, T, et al. “Optimisation of Particle Filters Using Simultaneous Perturbation Stochastic Approximation.” 2003 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOL VI, PROCEEDINGS, vol. 6, 2003, pp. 681–84.

Chicago Style

Chan, T, A Doucet, V Tadic, IEEE, IEEE, and IEEE. 2003. “Optimisation of Particle Filters Using Simultaneous Perturbation Stochastic Approximation.” 2003 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOL VI, PROCEEDINGS 6: 681–84.
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Authors

+ Chan, T More by this author

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+ Doucet, A More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Statistics
Role:: Author

+ Tadic, V More by this author

Role:: Author

+ IEEE More by this author

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+ IEEE More by this author

Role:: Author

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Journal:: 2003 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOL VI, PROCEEDINGS More from this journal
Volume:: 6
Pages:: 681-684
Publication date:: 2003-01-01
ISSN:: 1520-6149

Language:: English
Pubs id:: pubs:190644
UUID:: uuid:f6caad3f-5879-492d-a93a-838aa1c78dfa
Local pid:: pubs:190644
Source identifiers:: 190644
Deposit date:: 2012-12-19
ARK identifier:: ark:/29072/ora_f6caad3f5879492da93a838aa1c78dfa

Terms of use

Copyright date:: 2003

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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