Controlled sequential Monte Carlo

DOI10.1214/19-AOS1914zbMath1455.62162arXiv1708.08396OpenAlexW3087215779MaRDI QIDQ2215764

Jeremy Heng, George Deligiannidis, Adrian N. Bishop, Arnaud Doucet

Publication date: 14 December 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.08396

zbMATH Keywords

optimal controlstate space modelsreinforcement learningapproximate dynamic programmingnormalizing constantsannealed importance sampling

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Dynamic programming (90C39) Sequential estimation (62L12)

Related Items (10)

An Invitation to Sequential Monte Carlo Samplers ⋮ Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space ⋮ Monte Carlo Methods for the Neutron Transport Equation ⋮ Unbiased Markov chain Monte Carlo for intractable target distributions ⋮ An optimal control approach to particle filtering ⋮ A randomized multi-index sequential Monte Carlo method ⋮ Continuous-discrete smoothing of diffusions ⋮ Data assimilation: The Schrödinger perspective ⋮ A multilevel approach for stochastic nonlinear optimal control ⋮ Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference

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