Path storage in the particle filter

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 + CN log N where T is the time horizon, N is the number of particles and C is a con...

Full description

Saved in:
Bibliographic Details
Published in:Statistics and computing 2015-03, Vol.25 (2), p.487-496
Main Authors: Jacob, Pierre E., Murray, Lawrence M., Rubenthaler, Sylvain
Format: Article
Language:English
Subjects:
Algorithms
Artificial Intelligence
Computation
Computational Complexity
Computer Science
Constants
Distributed, Parallel, and Cluster Computing
Mathematical models
Mathematics
Mathematics and Statistics
Monte Carlo methods
Probability
Probability and Statistics in Computer Science
Statistical Theory and Methods
Statistics
Statistics and Computing/Statistics Programs
Storage
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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 + CN log N 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.
ISSN:0960-3174
1573-1375
DOI:10.1007/s11222-013-9445-x