Fast particle smoothing: If I had a million particles
We propose efficient particle smoothing methods for generalized state-spaces models. Particle smoothing is an expensive O(N2) algorithm, where N is the number of particles. We overcome this problem by integrating dual tree recursions and fast multipole techniques with forward-backward smoothers, a n...
| Main Authors: | , , , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2006
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