The chopthin algorithm for resampling

Resampling particles is a standard step in particle filters and more generally sequential Monte Carlo methods. We present an algorithm for resampling weighted particles which we call chopthin. Our algorithm enforces an upper bound on the ratio between the weights. The algorithm chops up particles with large weight and thins out particles with low weight. It implicitly guarantees a lower bound on the effective sample size. A simulation study shows that the chopthin approach consistently outperforms other resampling method.