Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions

DOI10.1080/07362994.2012.684323zbMath1253.82077arXiv1103.3970OpenAlexW1976568002MaRDI QIDQ4648510

Nick Whiteley

Publication date: 9 November 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.3970

zbMATH Keywords

sequential Monte Carlonon-compact spacesunbounded functions

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

Related Items (12)

Stability properties of some particle filters ⋮ Advanced Multilevel Monte Carlo Methods ⋮ Finite sample complexity of sequential Monte Carlo estimators on multimodal target distributions ⋮ Finite-sample complexity of sequential Monte Carlo estimators ⋮ Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods ⋮ Error bounds for sequential Monte Carlo samplers for multimodal distributions ⋮ Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions ⋮ A Practical Example for the Non-linear Bayesian Filtering of Model Parameters ⋮ Error Bounds and Normalising Constants for Sequential Monte Carlo Samplers in High Dimensions ⋮ Sequential Bayesian inference for implicit hidden Markov models and current limitations ⋮ On the stability of sequential Monte Carlo methods in high dimensions ⋮ Sequential Monte Carlo methods for Bayesian elliptic inverse problems

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