Statistics and Computing

, Volume 25, Issue 2, pp 487–496 | Cite as

Path storage in the particle filter

  • Pierre E. Jacob
  • Lawrence M. Murray
  • Sylvain Rubenthaler


This article considers the problem of storing the paths generated by a particle filter and more generally by a sequential Monte Carlo algorithm. It provides a theoretical result bounding the expected memory cost by T+CNlogN where T is the time horizon, N is the number of particles and C is a constant, as well as an efficient algorithm to realise this. The theoretical result and the algorithm are illustrated with numerical experiments.


Sequential Monte Carlo Particle filter Memory cost Parallel computation 


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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • Pierre E. Jacob
    • 1
  • Lawrence M. Murray
    • 2
  • Sylvain Rubenthaler
    • 3
  1. 1.Department of Statistics & Applied Probability, Faculty of ScienceNational University of SingaporeSingaporeSingapore
  2. 2.CSIRO Mathematics, Informatics & StatisticsWembleyAustralia
  3. 3.Univ. Nice Sophia AntipolisNiceFrance

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