Interacting multiple model particle filter

Abstract

A new method for multiple model particle filtering for Markovian switching systems is presented. This new method is a combination of the interacting multiple model (IMM) filter and a (regularised) particle filter. The mixing and interaction is similar to that in a conventional IMM filter. However, in every mode a regularised particle filter is running. The regularised particle filter probability density is a mixture of Gaussian probability densities. The proposed method is able to deal with nonlinearities and non-Gaussian noise. Furthermore, the new method keeps a fixed number of particles in each mode, and therefore it does not suffer from the potential drawbacks of existing multiple model particle filters for Markovian switching systems.