Solving Nonlinear State Estimation Problems Using Particle Filters-An Engineering Perspective

The goal of this work is to provide a self contained introduction to the nonlinear state estimation problem and how this can be solved using the particle lter. The objective in nonlinear ltering is to recursively in time estimate the state in a dynamic model. This is a real-time signal processing problem, where new measurement information inherently arrives in a sequential fashion. The particle lter o ers a powerful numerical solution to this problem. Besides a theoretical derivation of the particle lter we also provide MATLAB code solving simple examples.