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FLOPS of Kalman and particle filters Consider the following linear Gaussian state space model: x k = ( [ 1 , 1 ; 0 ,
FLOPS of Kalman and particle filters
Consider the following linear Gaussian state space model: ;
where is the state, is the measurement, and diag
and are white Gaussian noise processes.
a Write down the Kalman filter equations for this model stepbystep.
b Derive an expression for the optimal importance distribution for the model stepbystep:
c Write pseudocode for the corresponding particle filter algorithm sequential importance resampling algorithm stepbystep. Also write down the equations for the weight update stepbystep.
d Compare the number of CPU steps multiplications and additions needed by the particle filter and Kalman filter stepbystep. Which implementation would you choose for a real implementation?
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