Stochastic Control & Filtering

Stochastic Control & Filtering

Why Your Particle Filter Collapses in High Dimensions (And What to Reach For Instead)

So your particle filter is dead. You threw 10,000 particles at a 20-dimensional state space, watched the weights collapse to one particle after three ...

Stochastic Control & Filtering

What to Fix First in Nonlinear Filtering: Model Error vs. Sampling Degeneracy

Nonlinear filtered is a messy business. You inherit a model from the literature, throw in a particle filter, and watch it diverge after twenty steps. ...