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Optimal Bayesian multi-target filtering is, in general, computationally impractical owing to the high dimensionality of the multi-target state. The probability hypothesis density (PHD) filter propagates the first moment of the multi-target posterior distribution. While this reduces the dimensionality of the problem, the PHD filter still involves intractable integrals in many cases of interest. Several authors have proposed sequential Monte Carlo (SMC) implementations of the PHD filter. However these implementations are the equivalent of the bootstrap particle filter, and the latter is well known to be inefficient. Drawing on ideas from the auxiliary particle filter (APF), we present an SMC implementation of the PHD filter, which employs auxiliary variables to enhance its efficiency. Numerical examples are presented for two scenarios, including a challenging nonlinear observation model.