Fast and Numerically Stable Particle-Based Online Additive Smoothing: The AdaSmooth Algorithm
快速且数值稳定的粒子在线加性平滑：AdaSmooth 算法
We present a novel sequential Monte Carlo approach to online smoothing of additive functionals in a very general class of path-space models. Hitherto, the solutions proposed in the literature suffer from either long-term numerical instability due to particle-path degeneracy or, in the case that degeneracy is remedied by particle approximation of the so-called backward kernel, high computational demands. In order to balance optimally computational speed against numerical…