[Rcpp-devel] [ANN] New Package RcppSMC 0.1.0 for Sequential Monte Carlo and Particle Filters

[Dirk Eddelbuettel]

[ Also posted to r-package, sorry if I offen anyone by cross-posting. Doesn't
  happen often. --Dirk ]


===== Summary =====

Version 0.1.0 provides the initial release of RcppSMC, an integration of the
SMCTC template classes for Sequential Monte Carlo and Particle Filters
(Johansen, 2009, J Statistical Software, 30:6) with the Rcpp package for R/C++
Integration (Eddelbuettel and Francois, 2011, J Statistical Software, 40:8).

RcppSMC allows for easier and more direct access from R to the computational
core of the SMC algorithm.

===== Overview =====

Sequential Monte Carlo methods are a very general class of Monte Carlo
methods for sampling from sequences of distributions. Simple examples of
these algorithms are used very widely in the tracking and signal processing
literature. Recent developments illustrate that these techniques have much
more general applicability, and can be applied very effectively to
statistical inference problems. Unfortunately, these methods are often
perceived as being computationally expensive and difficult to implement. 

By combining the SMCTC with the 'glue' provided by Rcpp, a tighter
integration with R is achieved.  This allows the applied researcher
interested in Sequential Monte Carlo and Particle Filter methods to more
easily vary input data, summarize outputs, plot results and so on. 

As a concrete example, figure 5.1 of Johansen (2009) which illustrates a
Particle Filter for a two-dimensional linear state space model with
non-Gaussian observation error, is reproduced by

   res <- pfLineartBS(plot=TRUE)

where we select the optional plot. Moreover, progress during the model fit
can also be visualized (using callbacks into R from C++ which Rcpp provides)
via 

   res <- pfLineartBS(onlinePlot=pfLineartBSOnlinePlot)

where pfLineartBSOnlinePlot() is a default plotting function provided for
this example by the package.

Two more 'classic' examples from the literature have been added to the
package:

   blockpfGaussianOpt()   provides the Block Sampling Particle Filter of
      Doucet, Briers and Senecal (2006, JCGS 15:693) in the context of a 
      univariate linear Gaussian model.

   pfNonlinBS() provides the Bootstrap Particle Filter of
      Gordon, Salmond and Smith (1993, IEE Proceedings-F 140:107)
      in the context of the ubiquitous nonlinear model which was used in
      section 4.1 of that paper.

These examples are hopefully of some pedagogic interest and provide templates
which can be used to guide the implementation of more complicated algorithms
using the Rcpp/SMCTC-combination.

We intend to add more example and illustrations over time and aim ultimately 
to provide a framework to support the straightforward implementation of SMC
algorithms which exploits the powerful combination of R and C++.


===== Support =====

Questions about RcppSMC should be directed to the Rcpp-devel mailing list
    https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel



 -- Dirk Eddelbuettel and Adam Johansen
    March 2012





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