Path storage in the particle filter
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.
particle filter sequential monte carlo memory cost parallel computation