When Does the Marginalized Particle Filter Degenerate?

The Particle filter can in theory estimate the state of any nonlinear system, but in practice it suffers from an exponential complexity in terms of the number of particles as the dimension of the state increases. The marginalized particle filter can potentially reduce this problem by improving the estimates, particularly for lower number of particles. However, it turns out that for certain systems, it does not provide any improvement in the accuracy of the estimate. The core cause of degeneracy is linked to when the uncertainty of the linear state conditioned on the nonlinear state is 0. Conditions for determining when this occurs are presented and applied to common constant velocity, constant acceleration and constant jerk models with various sampling methods. Interestingly, some combinations are useful while others should be avoided. These findings are supported using simulated systems.