| Abstract: |
| Feedback particle filter is known to provide a way to compute the filter (conditional) distribution of the associated filtering model. In this talk, we present certain new results in the context of feedback particle filter. We first present the well-posedness of the associated Poisson equation (which is crucial to the implementation of the feedback particle filter) under certain easily verifiable sufficient conditions. Then, we introduce a new approximation procedure for the feedback particle filter (that is computationally more efficient), which makes use of a `local` version of the associated Poisson equation. |
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