Bayesian Computation Methods for Inference in Stochastic Kinetic Models

Algorithm 4

Standard particle filter [19].

Initialization (): Draw a collection of samples .

Recursive step ():

1. Draw using the Gillespie algorithm (or a diffusion approximation).

2. Construct .

3. Compute normalized IWs , , .

4. Resample times with replacement from according to the weights to yield .