posted by on 08 May 2014
The following paper has been updated on arXiv, detailing the particle filter resampling schemes implemented in LibBi, including the Metropolis and rejection algorithms, which can provide an extra performance boost:
L. M. Murray, A. Lee, and P. E. Jacob. Parallel resampling in the particle filter, 2014.
A new Resampling package has also been added to
the website. It can be used to reproduce the results of that paper using the
test_resampler command that comes built into LibBi. At time of writing, the
package requires the latest development version of LibBi from the GitHub
repository (to be released soon as stable