I am attempting to implement a particle filter within Rcpp and use OpenMP to parallelise the transition step. I am using dqrng
to create threadsafe RNG with using the boost
distribution functions as per here.
The code for the R API can be found here and introducing dqrng
here
The issue I am having is that, using the R API, I achieve correct results, verified against alternate implementations, with the density of the estimator being roughly normally distributed as expected. However, for the dqrng
version the density of the estimator does not appear correct with differing results being obtained. The density plots can be seen below.
Does anyone have any understanding of why this might be the case?
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