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Communication Dans Un Congrès Année : 2011

Improving particle approximations of the joint smoothing distribution with linear computational cost

Résumé

Particle smoothers are widely used algorithms allowing to approximate the smoothing distribution in hidden Markov models. Existing algorithms often suffer from slow computational time or degeneracy. We propose in this paper a way to improve any of them with a linear complexity in the number of particles. When iteratively applied to the degenerated Filter-Smoother, this method leads to an algorithm which turns out to outperform all other linear particle smoothers for a fixed computational time
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Dates et versions

hal-01303713 , version 1 (18-04-2016)

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Cyrille Dubarry, Randal Douc. Improving particle approximations of the joint smoothing distribution with linear computational cost. SSP 2011 : Statistical Signal Processing Workshop, Jun 2011, Nice, France. pp.209 - 212, ⟨10.1109/SSP.2011.5967661⟩. ⟨hal-01303713⟩
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