Path storage in the particle filter
Pierre E. Jacob, Lawrence M. Murray, Sylvain Rubenthaler · Base Institutionnelle de Recherche de l'université Paris-Dauphine (BIRD) (University Paris-Dauphine) · 2013
This article considers the problem of storing all the paths generated by a particle filter. It provides a theoretical result bounding the expected memory cost and an efficient algorithm to realise this. The theoretical result and the algorithm are illustrated with numerical experiments.