# Techniques to estimate constant states with particle filter?

I have an application where some of my states are constant and therefore have no process noise. Over the course of the estimation process, the uncertainty in these states drops several orders of magnitude, so it doesn't work to just use the initial scatter in these dimensions. I've had some success with various ad-hoc techniques, but they all corrupt the uncertainty to some extent. The underlying PDF is not Gaussian. Can anyone suggest techniques to address this problem?

• but theyre random at time 1? yeah this is a difficult problem. theres no real solution to the degeneracy/impoverishment issue here Commented Jun 21, 2017 at 20:52
• I'd state it as: the uncertainty is very large prior to obtaining observations and then is relatively very small after all the observations are utilized. No problem with a KF and Gaussian representations, but problematic with particles. KF is not applicable due to extreme non-linearity of measurements (observations). Commented Jun 21, 2017 at 22:23
• yeah that's a better way to phrase it. and you're experiencing all of your particles have the same values for the portion of your state that's constant? Commented Jun 21, 2017 at 23:17
• Yeah, without some sort of process noise, the resampling process will eventually collapse the constant dimensions to single values. The simplest way around it is to add some artificial process noise, but this makes the uncertainty bigger than it should be. If I make the (invalid) assumption that the PDF is Gaussian, I can add process noise and then collapse back to the mean in such a way that the mean/covariance is unaffected, but this can ruin the shape of the uncertainty. I've played with other hacks along these basic lines. Commented Jun 22, 2017 at 0:39
• I can give some papers, but I don't think that there's any total fix that exists. Commented Jun 22, 2017 at 16:39

"Combined Parameter and State Estimation in Simulation-Based Filtering" by Liu and West suggests using more intelligent artificial dynamics for the parameters, improving the idea from above. These ways seem to work fine, but it's a totally different model, so it's really apples to oranges here. You're not really looking at $p(\theta|\text{states},\text{data})$ when you're looking at these nice looking samples.
• @user2364295 that sounds right if by "static states" you mean "parameters." However, your last sentence is weird. When you say "relationships," I take that to mean all the conditional probability distributions of a specific state space model. Those never change. However,if by "relationships" you mean the exact pair values for each particle ($x^i$ and $\theta^i$), then yes, they change after the jitter. That's the whole point of the algorithm. This sounds like a separate question, though. If you post a separate question I'll probably see it and be able to answer your questions more fully. Commented Jul 2, 2017 at 18:36