2017/07/06 by Tomasz Cąkała, Cąkała, Tomasz, Błażej Miasojedow +3
Computer Science · Earth and Planetary Sciences · #Bayesian Methods and Mixture Models #Computation (stat.CO) #FOS: Computer and information sciences #Target Tracking and Data Fusion in Sensor Networks #Underwater Acoustics Research
paper · pdf · doi:10.48550/arxiv.1707.01660
openalex publication_date 2017/07/06 · openalex created_date 2022/10/05 · openalex updated_date 2026/07/28
We introduce a new version of particle filter in which the number of "children" of a particle at a given time has a Poisson distribution. As a result, the number of particles is random and varies with time. An advantage of this scheme is that descendants of different particles can evolve independently. It makes easy to parallelize computations. Moreover, particle filter with Poisson resampling is readily adapted to the case when a hidden process is a continuous time, piecewise deterministic semi-Markov process. We show that the basic techniques of particle MCMC, namely particle independent Metropolis-Hastings, particle Gibbs Sampler and its version with ancestor sampling, work under our Poisson resampling scheme. Our version of particle Gibbs Sampler is uniformly ergodic under the same assumptions as its standard counterpart. We present simulation results which indicate that our algorithms can compete with the existing methods.