Path Storage in the Particle Filter

P.E. Jacob, L.M. Murray and S. Rubenthaler

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.

P.E. Jacob, L.M. Murray and S. Rubenthaler (2015). Path Storage in the Particle Filter. Statistics and Computing. 25(2):487--496.

P.E. Jacob, L.M. Murray and S. Rubenthaler (2015). <a href="https://indii.org/research/path-storage-in-the-particle-filter/">Path Storage in the Particle Filter</a>. <em>Statistics and Computing</em>. <strong>25</strong>(2):487--496.

@Article{Jacob2015,
  title = {Path storage in the particle filter},
  author = {Pierre E. Jacob and Lawrence M. Murray and Sylvain Rubenthaler},
  journal = {Statistics and Computing},
  year = {2015},
  volume = {25},
  number = {2},
  pages = {487--496},
  doi = {10.1007/s11222-013-9445-x}
}

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