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Journal articles (2015), Statistics and Computing, 25 (2), pp. 487-496

Path storage in the particle filter

JACOB Pierre , Murray Lawrence M., Rubenthaler Sylvain

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. Link to the article

JACOB, P., MURRAY, L.M. and RUBENTHALER, S. (2015). Path storage in the particle filter. Statistics and Computing, 25(2), pp. 487-496.