Path storage in the particle filter

DOI10.1007/S11222-013-9445-XzbMath1332.62359arXiv1307.3180OpenAlexW3105590856MaRDI QIDQ5962753

Sylvain Rubenthaler, Lawrence M. Murray, Pierre E. Jacob

Publication date: 23 February 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.3180

zbMATH Keywords

parallel computationsequential Monte Carloparticle filtermemory cost

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (13)

A Lagged Particle Filter for Stable Filtering of Certain High-Dimensional State-Space Models ⋮ Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo ⋮ Weak convergence of non-neutral genealogies to Kingman's coalescent ⋮ Automatically adapting the number of state particles in \(\text{SMC}^2\) ⋮ Biased online parameter inference for state-space models ⋮ Controlled sequential Monte Carlo ⋮ Smoothing With Couplings of Conditional Particle Filters ⋮ Numerically stable online estimation of variance in particle filters ⋮ On particle Gibbs sampling ⋮ Simple conditions for convergence of sequential Monte Carlo genealogies with applications ⋮ On the two-filter approximations of marginal smoothing distributions in general state-space models ⋮ Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models ⋮ Sequential sampling of junction trees for decomposable graphs

Uses Software

• LibBi

Cites Work

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• The Convergence to Equilibrium of Neutral Genetic Models
• The time back to the most recent common ancestor in exchangeable population models
• Sequential Monte Carlo Methods for Dynamic Systems
• On Disturbance State-Space Models and the Particle Marginal Metropolis-Hastings Sampler
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models

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