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

DOI10.1007/S11222-014-9513-XMaRDI QIDQ2631374zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

optimizationsequential Monte Carlovariance reductionparticle filtersapproximating meta-models

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1666089 (Why is no real title available?)
• A lognormal central limit theorem for particle approximations of normalizing constants
• A review of recent advances in global optimization
• Asymptotic Statistics
• Blind Deconvolution via Sequential Imputations
• Filtering via Simulation: Auxiliary Particle Filters
• Inference in hidden Markov models.
• Iterated filtering
• Malaria in Northwest India: data analysis via partially observed stochastic differential equation models driven by Lévy noise
• Monte Carlo strategies in scientific computing
• Numerical Optimization
• On adaptive resampling strategies for sequential Monte Carlo methods
• Particle Markov Chain Monte Carlo Methods
• Twisted particle filters

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
• Twisting the alive particle filter
• Machine learning meta-models for fast parameter identification of the lattice discrete particle model
• 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

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Uses Software

• pomp

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