Multivariable feedback particle filter

This paper presents the multivariable extension of the feedback particle filter (FPF) algorithm for the nonlinear filtering problem in continuous-time. The FPF is a control-oriented approach to particle filtering. The approach does not require importance sampling or resampling and offers significant variance improvements; in particular, the algorithm can be applied to systems that are not stable. This paper describes new representations and algorithms for the FPF in the general multivariable nonlinear non-Gaussian setting. Theory surrounding the FPF is improved: Exactness of the FPF is established in the general setting, as well as well-posedness of the associated boundary value problem to obtain the filter gain. A Galerkin finite-element algorithm is proposed for approximation of the gain. Its performance is illustrated in numerical experiments.