pomp version 3.0.1.0 has been released: source code and binaries are available. This is a development release, anticipatory to the next CRAN version, which will be 3.1.
From this version, pomp requires at least version 4.0 of R.
New features
A new sequential importance sampling algorithm has been implemented as wpfilter.
This is a generalization of the algorithm in pfilter in that it tracks the weights of the particles and allows the user to customize the resampling scheme.
In particular, one can determine when resampling happens using the trigger option.
One sets trigger to a positive number:
when the effective sampling size is less than trigger * Np, resampling is triggered.
Thus setting trigger = 0 forbids resampling, while setting trigger to any number ≥0 forces resampling at every observation a la pfilter.
One can also determine the weight distribution of the resampled particles using the target option.
One sets target to a number in [0,1].
If target = α, say, and the weight of the i-th particle is wi, then it is resampled with weight wi1-α and, after resampling, carries weight wiα.
Thus, setting trigger = 1 and target = 0 reproduces the behavior of pfilter.
The new function wpfilter should be considered an alpha release:
both the interface and the underlying algorithms may change at any time without notice.
Please explore the function and give feedback via the pomp issues page.
For more information, see the help pages in the package manual.
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This software has been made possible by support from the U.S. National Science Foundation (Grants #EF-0545276, #EF-0430120), by the “Inference for Mechanistic Models” Working Group supported by the National Center for Ecological Analysis and Synthesis (a Center funded by N.S.F. (Grant #DEB-0553768), the University of California, Santa Barbara, and the State of California), and by the RAPIDD program of the Science & Technology Directorate, Department of Homeland Security and the Fogarty International Center, U.S. National Institutes of Health. |