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arxiv: 1710.05407 · v1 · pith:K3JK6KDKnew · submitted 2017-10-15 · 📊 stat.CO

Semi-independent resampling for particle filtering

classification 📊 stat.CO
keywords resamplingimportancemechanismrejuvenationsamplingadjustaimsalgorithm
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Among Sequential Monte Carlo (SMC) methods,Sampling Importance Resampling (SIR) algorithms are based on Importance Sampling (IS) and on some resampling-based)rejuvenation algorithm which aims at fighting against weight degeneracy. However %whichever the resampling technique used this mechanism tends to be insufficient when applied to informative or high-dimensional models. In this paper we revisit the rejuvenation mechanism and propose a class of parameterized SIR-based solutions which enable to adjust the tradeoff between computational cost and statistical performances.

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