Nudged Particle Filter with Optimal Resampling Applied to the Duffing Oscillator

Efficiently solving the continuous-time signal and discrete-time observation filtering problem for chaotic dynamical systems presents unique challenges in that the advected distribution between observations may encounter a separatrix structure that results in the prior distribution being far from the observation or the distribution may become split into multiple disjoint components. In an attempt to sense and overcome these dynamical issues, as well as approximate a non-Gaussian distribution, a nudged particle filtering approach has been introduced. In the nudged particle filter method a control term is added, but has the potential drawback of degenerating the weights of the particles. To counter this issue, we introduce an intermediate resampling approach based on the modified Cramér-von Mises distance. The new method is applied to a challenging scenario of the non-chaotic, unforced nonlinear Duffing oscillator, which possesses a separatrix structure. Our results show that it consistently outperforms the standard particle filter with resampling and original nudged particle filter.