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State-space sampler evaluation (Pints 2.0)

Open ben18785 opened this issue 6 years ago • 0 comments

Another really interesting direction for Pints to go in is to look at methods for sampling from intractable (i.e. unlike the Gaussian problem that are solved by use of Kalman filter as in #433) state-space models. There are a whole class of different things here going from the basic particle filter, SMC (it would be different to #465 so we'd perhaps call it something different), SMC^2, PMCMC, Iterated Batch sampling and so on.

Much like MCMC, there are a whole range of competing softwares out there for fitting these types of model and it'd be good to compare them, more formally.

This is quite a big current area of research too and so I think that we could get quite a few followers/contributors just by setting a standard.

Would be good to get Chris Holmes or Doucet's opinion on this.

ben18785 avatar Aug 29 '18 00:08 ben18785