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Article Dans Une Revue Statistics and Computing Année : 2015

Path storage in the particle filter

Résumé

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.

Dates et versions

hal-01279256 , version 1 (25-02-2016)

Identifiants

Citer

Lawrence Murray, Pierre E. Jacob, S. Rubenthaler. Path storage in the particle filter. Statistics and Computing, 2015, 25 (2), pp.487-496. ⟨10.1007/s11222-013-9445-x⟩. ⟨hal-01279256⟩
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