Particle Filter and MCMC Implementations

A collection of Python implementations for particle filtering and MCMC methods, with tools for comparing their performance.

Files

• particle_filter.py - Standard particle filter implementation
• simple_particle_filter.py - Basic particle filter for learning purposes
• simple_particle_gibbs.py - Particle Gibbs sampler
• parallel_tempering.py - Parallel tempering MCMC
• compare_simple_filters.py - Tools to compare filter performance
• compare_pf_pg.py - Compare particle filter vs particle Gibbs
• particle_comparison.py - General particle method comparisons
• mcmc_comparison.py - MCMC method comparisons

Setup

1. Install dependencies:

pip install numpy scipy matplotlib pandas

2. Run comparisons:

python compare_simple_filters.py # Compare particle filter variants

Requirements

• Python 3.6+
• NumPy
• SciPy
• Matplotlib
• Pandas

License

MIT License