Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models

DOI10.1007/S11222-014-9513-XzbMATH Open1342.62153OpenAlexW2146686157MaRDI QIDQ2631374FDOQ2631374

Authors: Anindya Bhadra, Edward L. Ionides 

Publication date: 29 July 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-014-9513-x

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zbMATH Keywords

optimizationsequential Monte Carlovariance reductionparticle filtersapproximating meta-models

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

Cites Work

• Asymptotic Statistics
• Numerical Optimization
• Inference in hidden Markov models.
• Twisted particle filters
• Filtering via Simulation: Auxiliary Particle Filters
• Particle Markov Chain Monte Carlo Methods
• Blind Deconvolution via Sequential Imputations
• Monte Carlo strategies in scientific computing
• Iterated filtering
• A review of recent advances in global optimization
• On adaptive resampling strategies for sequential Monte Carlo methods
• Malaria in Northwest India: data analysis via partially observed stochastic differential equation models driven by Lévy noise
• A lognormal central limit theorem for particle approximations of normalizing constants
• Title not available (Why is that?)

Cited In (8)

• On the performance of particle filters with adaptive number of particles
• Alive SMC\(^{2}\): Bayesian model selection for low-count time series models with intractable likelihoods
• Adapting the Number of Particles in Sequential Monte Carlo Methods Through an Online Scheme for Convergence Assessment
• Machine learning meta-models for fast parameter identification of the lattice discrete particle model
• Twisting the alive particle filter
• Automatically adapting the number of state particles in \(\text{SMC}^2\)
• An algorithm for approximating the second moment of the normalizing constant estimate from a particle filter
• Adaptive Component-Wise Multiple-Try Metropolis Sampling

Uses Software

• pomp

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