Rao-Blackwellized particle filter (RBPF)

The aim of this code is to solve an example, which is as simple as possible, but still relevant. Using this code and the general derivation provided in the paper below you should be able to fairly quickly implement a Rao-Blackwellized (a.k.a. marginalized) particle filter solving your particular problem.

MATLAB code

Click here to download the MATLAB code. The system used in illustrating the marginalized particle filter contains one nonlinear state and three linear states and is completely defined in this document.

Relevant paper

All the details explaining the RBPF are provided in the following paper,

Thomas Schön, Fredrik Gustafsson, and Per-Johan Nordlund. Marginalized Particle Filters for Mixed Linear/Nonlinear State-Space ModelsIEEE Transactions on Signal Processing, 53(7):2279-2289, Jul. 2005. [pdf] [IEEE]

 © Thomas Schön 2019