Nudging the particle filter. (English) Zbl 1436.62447
Summary: We investigate a new sampling scheme aimed at improving the performance of particle filters whenever (a) there is a significant mismatch between the assumed model dynamics and the actual system, or (b) the posterior probability tends to concentrate in relatively small regions of the state space. The proposed scheme pushes some particles toward specific regions where the likelihood is expected to be high, an operation known as nudging in the geophysics literature. We reinterpret nudging in a form applicable to any particle filtering scheme, as it does not involve any changes in the rest of the algorithm. Since the particles are modified, but the importance weights do not account for this modification, the use of nudging leads to additional bias in the resulting estimators. However, we prove analytically that nudged particle filters can still attain asymptotic convergence with the same error rates as conventional particle methods. Simple analysis also yields an alternative interpretation of the nudging operation that explains its robustness to model errors. Finally, we show numerical results that illustrate the improvements that can be attained using the proposed scheme. In particular, we present nonlinear tracking examples with synthetic data and a model inference example using real-world financial data.
MSC:
| 62M20 | Inference from stochastic processes and prediction |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 62G35 | Nonparametric robustness |
Keywords:
particle filtering; nudging; robust filtering; data assimilation; model errors; approximation errorsSoftware:
FinTSReferences:
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