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 $T + C N \log N$ 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.

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