pfr

CRANpfrMaRDI QIDQ5979138

Interface to the 'C++' Library 'Pf'

Taylor Brown

Last update: 8 December 2023

Copyright license: GNU General Public License

Software version identifier: 1.0.0, 1.0.1

Description

Builds and runs 'c++' code for classes that encapsulate state space model, particle filtering algorithm pairs. Algorithms include the Bootstrap Filter from Gordon et al. (1993) <doi:10.1049/ip-f-2.1993.0015>, the generic SISR filter, the Auxiliary Particle Filter from Pitt et al (1999) <doi:10.2307/2670179>, and a variety of Rao-Blackwellized particle filters inspired by Andrieu et al. (2002) <doi:10.1111/1467-9868.00363>. For more details on the 'c++' library 'pf', see Brown (2020) <doi:10.21105/joss.02599>.

Cites work

• Filtering via Simulation: Auxiliary Particle Filters
• Particle Filtering for Partially Observed Gaussian State Space Models
• Novel approach to nonlinear/non-Gaussian Bayesian state estimation
• A Short Introduction to PF: A C++ Library for Particle Filtering

This page was built for software: pfr