smoothing

This module implements off-line smoothing algorithms as methods of class particles.smoothing.ParticleHistory. Off-line smoothing amounts to approximate the distribution of the complete trajectory \(X_{0:T}\), given data \(y_{0:T}\), at some fixed time horizon T. The corresponding algorithms require:

1. to run a particle filter forward in time (from time 0 to time T), and store its complete history (at each time t, the particles, their weights, and their ancestor indices);

2. to do some computations on that history, e.g. reconstructing trajectories backward.

In practice, to do Step 1, we initialize a SMC algorithm with option store_history set to True (see core module). Upon completion, the SMC object has a hist attribute, which is an instance of particles.smoothing.ParticleHistory; then, to do Step 2, we use the appropriate method. Here is a quick example:

# forward pass
pf = particles.SMC(fk=my_fk_model, N=100, store_history=True)
# generate 20 smoothing trajectories
trajectories = pf.backward_sampling(20)

For more details, see the documentation of particles.smoothing.ParticleHistory (and Chapter 12 of the book).

Warning

the complete history of a particle filter may take a lot of memory.

Module summary

ParticleHistory(model, N) Particle history.
smoothing_worker([method, N, seed, fk, …]) Generic worker for off-line smoothing algorithms.