Gomes Marques, Reinaldo A.; Storvik, Geir Olve
Sequential Monte Carlo methods are widely used to deal with the intractability of complex models including state space models. Their aim is to approximate the distribution of interest by a set of properly weighted samples. To control the weight degeneracy, the resample step has been proposed as an inexpensive alternative to avoid the collapse of particle filter algorithms. When the sample becomes too poor with successive use of resample steps, MCMC moves have been added in particle filter algorithms in order to make the identical samples diverge. In this work we consider strategies where we first perform a moves step, and then we update the weights for reweighting the particles. The validity of this approach is based on the commonly used trick of working on an artificial extended distribution having the target distribution as marginal combined with the use of backwards kernels. By updating the weights via a diversification step, this approach can make their empirical distribution less skewed increasing the effective sample size.