Sequential Monte Carlo Methods in Practice

DOI10.1007/978-1-4757-3437-9zbMATH Open0967.00022OpenAlexW1483307070MaRDI QIDQ2734599FDOQ2734599

Authors:

Publication date: 20 August 2001

Full work available at URL: https://doi.org/10.1007/978-1-4757-3437-9

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zbMATH Keywords

Monte Carlo methods

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings, conferences, collections, etc. pertaining to numerical analysis (65-06) Proceedings, conferences, collections, etc. pertaining to systems and control theory (93-06)

Cited In (only showing first 100 items - show all)

• Stopping-Time Resampling for Sequential Monte Carlo Methods
• Monte Carlo Methods for the Neutron Transport Equation
• Hierarchical visual event pattern mining and its applications
• PF-MPC: particle filter-model predictive control
• Adaptive multilevel splitting: historical perspective and recent results
• Improved particle filters for multi-target tracking
• Using state-space model with regime switching to represent the dynamics of facial electromyography (EMG) data
• Stochastic global optimization as a filtering problem
• Fluctuations of interacting Markov chain Monte Carlo methods
• Particle filters with random resampling times
• Adaptive weighting of local classifiers by particle filters for robust tracking
• Stability of Feynman-Kac formulae with path-dependent potentials
• Sequentially interacting Markov chain Monte Carlo methods
• Sequential Data Assimilation Techniques in Oceanography
• Path sampling with stochastic dynamics: some new algorithms
• Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach.
• Nonparametric multi-step prediction in nonlinear state space dynamic systems
• Likelihood free inference for Markov processes: a comparison
• Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
• Filtering with state space localized Kalman gain
• A dynamic fusion system for fast nuclear source detection and localization with mobile sensor networks
• Sequential Monte Carlo as approximate sampling: bounds, adaptive resampling via \(\infty\)-ESS, and an application to particle Gibbs
• Fault detection and isolation in non-linear stochastic systems—A combined adaptive Monte Carlo filtering and likelihood ratio approach
• A new class of interacting Markov chain Monte Carlo methods
• Embedding population dynamics models in inference
• Using capture-recapture data and hybrid Monte Carlo sampling to estimate an animal population affected by an environmental catastrophe
• A Monte Carlo method for filtering a marked doubly stochastic Poisson process
• An efficient computational approach for prior sensitivity analysis and cross‐validation
• Inference and Model Choice for Sequentially Ordered Hidden Markov Models
• Comparison of the performance of particle filter algorithms applied to tracking of a disease epidemic
• Stochastic boosting algorithms
• Stochastic boosting algorithms
• A Rao-blackwellized particle filter for joint parameter estimation and biomass tracking in a stochastic predator-prey system
• Convergence of adaptive mixtures of importance sampling schemes
• Equilibrium sampling from nonequilibrium dynamics
• Sensor control for multi-object state-space estimation using random finite sets
• Sequential Monte Carlo methods for option pricing
• Advertising Cycling to Manage Exclusivity Loss in Fashion Styles
• On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization
• Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering
• Convergence rate and concentration inequalities for Gibbs sampling in high dimension
• Simulation-based optimal sensor scheduling with application to observer trajectory planning
• A note on auxiliary particle filters
• Particle filter for estimating freeway traffic state in Beijing
• Multitarget tracking by improved particle filter based on \(H_\infty\) unscented transform
• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
• Online data processing: comparison of Bayesian regularized particle filters
• Cooperative shift estimation of target trajectory using clustered sensors
• Implicit dual control based on particle filtering and forward dynamic programming
• Fluid flow dynamics under location uncertainty
• Population model-based optimization
• A Bayesian approach to nonlinear probit gene selection and classification
• Multivariate stochastic volatility estimation using particle filters
• Four encounters with system identification
• An iterative version of the adaptive Gaussian mixture filter
• A Bayes estimator of parameters of nonlinear dynamic systems
• Object tracking from image sequences using adaptive models in fuzzy particle filter
• Method of adjoint particle filters in nonlinear Bayesian estimation problems with a high prior uncertainty
• Approximate importance sampling Monte Carlo for data assimilation
• Action-specific motion prior for efficient Bayesian 3D human body tracking
• Variance reduction techniques in particle-based visual contour tracking
• Accelerating inference for diffusions observed with measurement error and large sample sizes using approximate Bayesian computation
• Comparison of sequential data assimilation methods for the Kuramoto-Sivashinsky equation
• Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
• Tracking rapid intracellular movements: a Bayesian random set approach
• Inference for a class of partially observed point process models
• Robust identification of highly persistent interest rate regimes
• Bayesian computation methods for inference in stochastic kinetic models
• Consistent identification of Wiener systems: a machine learning viewpoint
• Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
• Periodically collapsing Evans bubbles and stock-price volatility
• Iterated gain-based stochastic filters for dynamic system identification
• Real time detection of structural breaks in GARCH models
• Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
• Uniform time average consistency of Monte Carlo particle filters
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• A stable estimator of the information matrix under EM for dependent data
• On particle Gibbs sampling
• Genealogical particle analysis of rare events
• A Bayesian Topological Framework for the Identification and Reconstruction of Subcellular Motion
• Accuracy and stability of filters for dissipative PDEs
• Error of calculating the optimal Bayesian estimate using the Monte Carlo method in nonlinear problems
• Enhanced consistency of the resampled convolution particle filter
• Uncertainty quantification in the ensemble Kalman filter
• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
• On adaptive resampling strategies for sequential Monte Carlo methods
• Monitoring and prediction of an epidemic outbreak using syndromic observations
• On solving integral equations using Markov chain Monte Carlo methods
• A Bayesian approach for inferring neuronal connectivity from calcium fluorescent imaging data
• Unified set membership theory for identification, prediction and filtering of nonlinear systems
• Long-term stability of sequential Monte Carlo methods under verifiable conditions
• Design of complex systems in the presence of large uncertainties: a statistical approach
• Model-based structural health monitoring of naval ship hulls
• A tutorial on particle filters
• Predictive modeling of cholera outbreaks in Bangladesh
• Multivariable feedback particle filter
• Antithetic sampling for sequential Monte Carlo methods with application to state-space models
• Higher order sigma point filter: a new heuristic for nonlinear time series filtering
• Concentration inequalities for mean field particle models
• Efficient estimation and particle filter for max-stable processes

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