An Efficient Particle Filter for the OOSM Problem in Nonlinear Dynamic Systems

In this paper, the out of sequence measurement (OOSM) problem with arbitrary lags in nonlinear dynamic systems is considered. We develop an efficient particle filtering (E- PF) algorithm based on the exact Bayesian solution. Generally, by introducing some reasonable Gaussian assumptions, a general Gaussian smoother is derived to compute the expected smoothing pdfs instead of using the particle smoother, which makes the E-PF computation efficient and applicable for most nonlinear cases. Meantime, for E-PF, only the estimates and covariances for a predetermined maximum number of lags are stored, the storage resource is also effectively saved. In the simulation, a two-dimensional target tracking example is given, the numerical results show that the tracking performance of our algorithm is quite close to the A-PF algorithm proposed by Zhang et al., while the computation cost is significantly reduced.