Caching particle states

A key feature of particle filters is their sequential nature, which supports online estimation: after conditioning on observations \(\{y_1, \dots, y_N\}\), when a new observation \(y_{N+1}\) is received, we only need to account for this new observation — there is no need to restart from \(y_1\).

This can be achieved in pypfilt by defining a cache file for each scenario. For example, we can define cache files for the two forecasting scenarios that have been introduced in this tutorial by adding the following lines to the scenario file:

[scenario.forecast.files]
cache_file = "cache_forecast.hdf5"

[scenario.forecast_regularised.files]
cache_file = "cache_forecast_regularised.hdf5"

When a cache file is defined, pypfilt.forecast() will save the particles at each forecast time. For example, the following example will save the particles at \(t = 10\), \(t = 15\), and \(t = 20\):

forecast_times = [10, 15, 20]
pypfilt.forecast(context, forecast_times)

These saved particles can then be reused when generating new forecasts:

forecast_times = [25, 30]
pypfilt.forecast(context, forecast_times)

Note

The above example will also save the particles at \(t = 25\) and \(t = 30\).

pypfilt.forecast() identifies the most recently saved particles that are consistent with the new observations. In the above example, if the observations at time \(t = 20\) were updated before generating the forecast at time \(t = 25\), pypfilt will resume from the particles saved at time \(t = 15\). This ensures that when past data are modified, corrected, etc, these changes will be reflected in the generated forecasts.