Convergence analysis of multiple imputations particle filters for dealing with missing data in nonlinear problems

摘要

We apply multiple imputations particle filter (MIPF) to deal with non-linear state estimation problem in the presence of missing data. We use imputations to replace the missing data. We present the convergence analysis of MIPF and show that it is almost surely convergent.We also present examples with a nonstationary growth model and dual-sensor bearing-only tracking, which demonstrate that MIPF can effectively deal with missing data in nonlinear problems.