SMCTC: Sequential Monte Carlo in C++

Abstract

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. This article seeks to address both of these problems. A C++ template class library for the efficient and convenient implementation of very general Sequential Monte Carlo algorithms is presented. Two example applications are provided: a simple particle filter for illustrative purposes and a state-of-the-art algorithm for rare event estimation.