buildParticleFilter: nimbleFunction for a basic particle filter

In thirdwing/nimble: Flexible BUGS-compatible system for hierarchical statistical modeling and algorithm development

Description

Builds a particle filter for a scalar state-space model.

Usage

buildParticleFilter(model, orderedNodeVector)

Arguments

model	A state space model for which the particle filter will be applied
orderedNodeVector	A character vector of the hidden state space for which the particles will be simulated for. Must be correctly ordered, i.e. c('x[1]', 'x[2]', ...)

Details

A particle filter approximates the log-likelihood of a state-space model using simulations. At each time step, a sample of latent state values is simulated forward, weighted by the probability density of the observation, and resampled according to those weights for the next time step. The average of the weights is a factor in the likelihood. This version is for scalar states and observations.

Run time arguments

• m number of particles to use for each time step

Author(s)

Clifford Anderson-Bergman

Examples

timeModelCode <- nimbleCode({
	x[1] ~ dnorm(mu_0, 1)
	y[1] ~ dnorm(x[1], 1)
	for(i in 2:t){
		x[i] ~ dnorm(x[i-1] * a + b, 1)
		y[i] ~ dnorm(x[i] * c, 1)
	}

	a ~ dunif(0, 1)
	b ~ dnorm(0, 1)
	c ~ dnorm(1,1)
	mu_0 ~ dnorm(0, 1)
})
t = 25	#number of hidden spaces
mu_0 = 1
x = rnorm(1 ,mu_0, 1)
y = rnorm(1, x, 1)
a = 0.5
b = 1
c = 1
for(i in 2:t){
	x[i] = rnorm(1, x[i-1] * a + b, 1)
	y[i] = rnorm(1, x[i] * c, 1)
}

rTimeModel <- nimbleModel(timeModelCode, constants = list(t = t), data = list(y = y) )
cTimeModel <- compileNimble(rTimeModel)
xNodes = paste0('x[', 1:t, ']')		#Ordered list of hidden nodes. Equivalent to xTimeModel$expandNodeNames('x[1:t]')
rPF <- buildParticleFilter(rTimeModel, xNodes)
	# Setting initial values (true parameter values of simulated data)
cTimeModel$mu_0 = 1
cTimeModel$x = cTimeModel$y
cTimeModel$a = 0.5
cTimeModel$b = 1
cTimeModel$c = 1
cTimeModel$mu_0 = 1
cPF = compileNimble(rPF,project = rTimeModel)
cPF(m = 5000)

thirdwing/nimble documentation built on May 31, 2019, 10:41 a.m.