Analytic solution of the exact Daum-Huang flow equation for particle filters

Abstract: State estimation for nonlinear systems, especially in high dimensions, is a generally intractable problem, despite the ever-increasing computing power. Efficient algorithms usually apply a finite-dimensional model for approximating the probability density of the state vector or treat the estimation problem numerically. In 2007 Daum and Huang introduced a novel particle filter approach that uses a homotopy-induced particle flow for the Bayesian update step. Multiple types of particle flows were derived since with different properties. The exact flow considered in this work is a first-order linear ordinary time-varying inhomogeneous differential equation for the particle motion. An analytic solution in the interval [0,1] is derived for the scalar measurement case, which enables significantly faster computation of the Bayesian update step for particle filters.