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Path storage in the particle filter

Jacob, Pierre E.; Murray, Lawrence; Rubenthaler, Sylvain (2015), Path storage in the particle filter, Statistics and Computing, 25, 2, p. 487-496. http://dx.doi.org/10.1007/s11222-013-9445-x

Type
Article accepté pour publication ou publié
Date
2015
Journal name
Statistics and Computing
Volume
25
Number
2
Publisher
Springer
Pages
487-496
Publication identifier
Metadata
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Author(s)
Jacob, Pierre E. cc

Murray, Lawrence

Rubenthaler, Sylvain
Abstract (EN)
This article considers the problem of storing all the paths generated by a particle filter. It provides a theoretical result bounding the expected memory cost and an efficient algorithm to realise this. The theoretical result and the algorithm are illustrated with numerical experiments.
Subjects / Keywords
Sequential Monte Carlo; Particle filter; Parallel computation; Memory cost