From the Kalman Filter to the Particle Filter: A Geometrical Perspective of the Curse of Dimensionality

Figure 2

Schematic view of the concentration of samples of a normal law toward a spherical shell of radius and thickness as the dimension increases from (a) to (b), (c), and (d) (see text for the details of the construction).

(a)

(b)

(c)

(d)