On the Forgetting of Particle Filters
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We study the forgetting properties of the particle filter when its state - the collection of particles - is regarded as a Markov chain. Under a strong mixing assumption on the particle filter's underlying Feynman-Kac model, we find that the particle filter is exponentially mixing, and forgets its initial state in O(log N ) `time', where N is the number of particles and time refers to the number of particle filter algorithm steps, each comprising a selection (or resampling) and mutation (or prediction) operation. We present an example which suggests that this rate is optimal. In contrast to our result, available results to-date are extremely conservative, suggesting O(α^N) time steps are needed, for some α>1, for the particle filter to forget its initialisation. We also study the conditional particle filter (CPF) and extend our forgetting result to this context. We establish a similar conclusion, namely, CPF is exponentially mixing and forgets its initial state in O(log N ) time. To support this analysis, we establish new time-uniform L^p error estimates for CPF, which can be of independent interest.
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