Particle smoothing for Wiener state-space models

This is a Matlab implementation of the two filter particle smoothers for Wiener state space models from the following two publications:

1. R. Hostettler, “A two filter particle smoother for Wiener state-space systems,” in IEEE Conference on Control Applications (CCA), Sydney, Australia, September 2015

   [Link] [PDF]

2. R. Hostettler and T. B. Schön, “Auxiliary-particle-filter-based two- filter smoothing for Wiener state-space models,” in 21th International Conference on Information Fusion (FUSION), Cambridge, UK, July 2018

   [Link] [PDF]

The examples are implemented in the following files:

• example_lgss.m: Example 1 from [1].
• example_tracking.m: Example 2 from [1].
• example_nonmonotonic.m: The example from [2].

The methods are implemented in lib:

• wiener_bfps(): Bootstrap-filter-based smoother according to [1].
• wiener_apf(): Auxiliary (forward) filter according to [2].
• wiener_afps(): Auxiliary-filter-based smoother according to [2].
• wiwner_cpfas(): Auxiliary-filter-based conditional particle filter with ancestor sampling for use in particle Gibbs.

The remaining functions in lib are helper functions.

N.B.: This code also makes use of some functions from the libsmc library.