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 publiéDate
2015Journal name
Statistics and ComputingVolume
25Number
2Publisher
Springer
Pages
487-496
Publication identifier
Metadata
Show full item recordAbstract (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 costRelated items
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