A new book has been recently published. An Introduction to Sequential Monte Carlo by Barcelona GSE Data Science Center Director Omiros Papaspiliopoulos and co-author Nicolas Chopin is now available from Springer.
The book offers a general and gentle introduction to all aspects of particle filtering: the algorithms, their uses in different areas, and the supporting theory. It covers both the basics and more advanced, cutting-edge developments, such as PMCMC (particle Markov chain Monte Carlo) and SQMC (Sequential quasi-Monte Carlo).
The book comes with a freely available Python library (particles), which implements all the algorithms discussed in the book. Each chapter ends with a “Python corner” that discusses how the methods covered can be implemented in Python.