pfjax.particle_smooth

Module Contents

Functions

particle_smooth(key, logw, x_particles, ancestors)

Draw a sample from p(x_state | x_meas, theta) from a particle filter with multinomial resampling.
pfjax.particle_smooth.particle_smooth(key, logw, x_particles, ancestors)[source]

Draw a sample from p(x_state | x_meas, theta) from a particle filter with multinomial resampling.

Parameters

  • key – PRNG key.

  • logw – Vector of n_particles unnormalized log-weights at the last time point t = n_obs-1.

  • x_particles – JAX array with leading dimensions (n_obs, n_particles) containing the state variable particles.

  • ancestors – JAX integer array of shape (n_obs-1, n_particles) where each element gives the index of the particle’s ancestor at the previous time point.

Returns

An array with leading dimension n_obs sampled from p(x_{0:T} | y_{0:T}, theta).

Return type

JAX Array