Backward simulation methods for Monte Carlo statistical inference

DOI10.1561/2200000045MaRDI QIDQ2872495zbMATH OpenOpenAlexFDO

Authors Fredrik Lindsten, Thomas B. Schön

Publication date 15 January 2014

Published in Foundations and Trends in Machine Learning (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/2f2a51afeeef614d8bfa6d84ff25e29a123ea05d

zbMATH Keywords

backward simulatorsforward-backward ideainferenceinteracting particle systemsmachine learningMarkov chainsMonte Carlo methodsnonlinear/non-Gaussian state-space modelssequential Monte Carlo

Mathematics Subject Classification ID

Gaussian processes (60G15) Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to computer science (68-02) Learning and adaptive systems in artificial intelligence (68T05)

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Cited in

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• Adaptive importance sampling for control and inference
• Uniform ergodicity of the particle Gibbs sampler
• Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers
• Variational objectives for Markovian dynamics with backward simulation
• On robust input design for nonlinear dynamical models
• Smoothing with couplings of conditional particle filters
• Decoding Hidden Cognitive States From Behavior and Physiology Using a Bayesian Approach
• Data assimilation: the Schrödinger perspective
• Comparison of simulation-based algorithms for parameter estimation and state reconstruction in nonlinear state-space models
• Rao-Blackwellized particle smoothing for mixed linear/nonlinear state-space model with asynchronously dependent noise processes
• Inferring epidemics from multiple dependent data via pseudo-marginal methods
• Towards data-conditional simulation for ABC inference in stochastic differential equations
• Particle MCMC and the correlated particle hybrid sampler for state space models
• An algorithm for non-parametric estimation in state-space models

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