Clustered Exact Daum-Huang Particle Flow Filter

Algorithm 1

Exact Flow Daum-Huang Filter.

1  Initialization: Draw from the prior ;

2  Set and as the mean; as the covariance matrix.

3  for to do

4   Propagate particles ;

5   Calculate the mean value ;

6   Apply UKF/EKF prediction:

7   for   to do

8    Set ;

9    Calculate by linearizing at

10    Calculate and from (8) and (9) using and ;

11    for to do

12     Evaluate for each particle from (7)

13     Migrate particles:

14    endfor

15    Re-evaluate using the updated particles .

16   endfor

17   Apply UKF/EKF update: ;

18   Estimate from the particles using ;

19   Redraw particles ; (Optional)

20  endfor