Fast particle smoothing: If i had a million particles

Conference item

We propose efficient particle smoothing methods for generalized state-spaces models. Particle smoothing is an expensive O(N2) algorithm, where N is the number of particles. We overcome this problem by integrating dual tree recursions and fast multipole techniques with forward-backward smoothers, a new generalized two-filter smoother and a maximum a posteriori (MAP) smoother. Our experiments show that these improvements can substantially increase the practicality of particle smoothing.

Authors: Klaas, M; Briers, M; De Freitas, N; Doucet, A; Maskell, S

• Host title: ACM International Conference Proceeding Series
• Volume: 148
• Pages: 481-488
• Publication date: 2006-01-01
• DOI: 10.1145/1143844.1143905
• ISBN-10: 1595933832
• ISBN-13: 9781595933836