The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.

pfR

pfR is the R interface to the c++ particle filtering library pf.

Have a new model you want to quickly write a particle filter for? Quickly generate 99% of the code, fill in your model/algorithm details, and then compile.

Step 1: Download

Either clone this repository, or type the following into R:

devtools::install_github("tbrown122387/pfr")

Step 2: Auto-generate code

Pick your particle filter, generate most of the required c++ code, then fill in the rest. For example,

library(pfr)
createPFCPPTemplates("svol_leverage", "BSWC", fileDir = "~/Desktop/")

Saves three files to your desktop: svol_leverage_bswc.h, svol_leverage_bswc.cpp, and svol_leverage_bswc_export.cpp. After you’re finished filling in the details, they should look like this, this, and this, respectively.

Step 3: Compile and Load

Compile the c++ code with

svol_lev <- buildModelFuncs("~/Desktop", "svol_leverage")

Step 4: Run

Call your model’s functions with

svol_lev$svol_leverage_bswc_approx_LL(rnorm(100), c(.9, 0.0, 1.0, -.2))
svol_lev$svol_leverage_bswc_approx_filt(rnorm(100), c(.9, 0.0, 1.0, -.2))

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.