Particle filters

July 25, 2014 — December 17, 2024

Bayes
Monte Carlo
particle
probabilistic algorithms
probability
sciml
signal processing
state space models
statistics
swarm
time series

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Figure 1

A Monte Carlo algorithm updates a population of samples with a nested update sequentially. i.e. a sequential Monte Carlo method, but the sequence of time steps happens to correspond to a sequence of actual time updates. Or, to put it another way, a generalization of state filter models via importance sampling, or bootstrap filters. These are classically considered cousins to the linear Gaussian Kalman filter, applicable to more challenging models at the cost of using a certain type of Monte Carlo approximation. Related to ensemble Kalman filters and Stein VGD in that all use collections of particles, but they use them in rather different ways.

This has nothing to do with filters for particulate matter as seen in respirators. These are abstract mathematical particles.

1 Introductions

Easy to explain with an example such as this particle filter in scala.

2 Feynman-Kac formulae

See Feynman-Kac.

3 System Identification in

Do not know the parameters governing the system dynamics and need to learn those too? See System identification with particle filters.

4 Relation to Ensemble Kalman filters

Yes.

Figure 3: Various extensions of Kalman filters as per Katzfuss, Stroud, and Wikle (2016).

See Ensemble Kalman Filter.

5 Particle flow

Introduced to me by my colleague Adrian Bishop (Bunch and Godsill 2014; Daum, Huang, and Noushin 2010; Daum and Huang 2010, 2009, 2008, 2013).

6 Particle Marginal Metropolis-Hastings

This looks like a SOTA place to start for a lot of problems. The particle marginal Metropolis-Hastings (PMMH) particle MCMC algorithm (Andrieu, Doucet, and Holenstein 2010)

7 High dimensional

Particle filters are usually assumed to be bad in high dimensions (Snyder et al. 2008). There are tricks to generalize to higher dimensions (Beskos et al. 2017; Boopathy et al. 2024; Wüthrich et al. 2015)

8 Non-Gaussian evolution

8.1 Jump process

I am interested in jump-process SMC (to be defined). For those, I should apparently consult Graham and Méléard (1997);Grünbaum (1971);Méléard (1996);Shiga and Tanaka (1985).

8.2 On weird graphs

9 Rao-Blackwellized particle filter

Particles which represent marginal densities (Murphy 2012, 23.6).

10 Tooling

Some MCMC toolkits incorporate SMC too.

  • particles is a python library for teaching DIY particle filtering, to accompany the book Chopin and Papaspiliopoulos (2020).
  • Johansen’s page, with C++ software
  • Dirk Eddelbuettel’s lab created RCppSMC for R integration of the Johansen stuff. Documentation is not great — it only consists of black-box toy problems without any hint of how you would construct, e.g. a likelihood function, so I can’t evaluate how easy this would be to use, as opp plain C++.
  • most probabilistic programming languages include a particle filter example.

11 References

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