Error estimates for the kernel gain function approximation in the feedback particle filter

Amirhossein Taghvaei, Prashant G. Mehta, Sean P. Meyn

Abstract: This paper is concerned with the analysis of the kernel-based algorithm for gain function approximation in the feedback particle filter. The exact gain function is the solution of a Poisson equation involving a probability-weighted Laplacian. The kernel-based method - introduced in our prior work - allows one to approximate this solution using only particles sampled from the probability distribution. This paper describes new representations and algorithms based on the kernel-based method. Theory surrounding the approximation is improved and a novel formula for the gain function approximation is derived. A procedure for carrying out error analysis of the approximation is introduced. Certain asymptotic bounds for bias and variance are derived for the general nonlinear non-Gaussian case. Comparison with the constant gain function approximation is provided. The results are illustrated with the aid of numerical experiments.