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