Path storage in the particle filter

DOI10.1007/S11222-013-9445-XzbMATH Open1332.62359arXiv1307.3180OpenAlexW3105590856MaRDI QIDQ5962753FDOQ5962753

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

Publication date: 23 February 2016

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

Abstract: This article considers the problem of storing the paths generated by a particle filter and more generally by a sequential Monte Carlo algorithm. It provides a theoretical result bounding the expected memory cost by $T+CNlogN$ where $T$ is the time horizon, $N$ is the number of particles and $C$ is a constant, as well as an efficient algorithm to realise this. The theoretical result and the algorithm are illustrated with numerical experiments.

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

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zbMATH Keywords

sequential Monte Carloparticle filterparallel computationmemory cost

Mathematics Subject Classification ID

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

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Cited In (14)

• A lagged particle filter for stable filtering of certain high-dimensional state-space models
• On particle Gibbs sampling
• Controlled sequential Monte Carlo
• Automatically adapting the number of state particles in \(\text{SMC}^2\)
• On the two-filter approximations of marginal smoothing distributions in general state-space models
• Simple conditions for convergence of sequential Monte Carlo genealogies with applications
• Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
• Inferring medication adherence from time-varying health measures
• Weak convergence of non-neutral genealogies to Kingman's coalescent
• 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
• Smoothing with couplings of conditional particle filters
• Biased online parameter inference for state-space models
• Numerically stable online estimation of variance in particle filters

Uses Software

• LibBi

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