Mean field simulation for Monte Carlo integration
DOI10.1201/B14924zbMATH Open1282.65011OpenAlexW568632016MaRDI QIDQ2840671FDOQ2840671
Authors: Pierre Del Moral 
Publication date: 23 July 2013
Published in: Monographs on Statistics and Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1201/b14924
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- Asymptotic behavior of the forecast-assimilation process with unstable dynamics
- On concentration properties of partially observed chaotic systems
- Variance estimation in adaptive sequential Monte Carlo
- Constructing sampling schemes via coupling: Markov semigroups and optimal transport
- On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
- Adaptive online variance estimation in particle filters: the ALVar estimator
- On the stability of positive semigroups
- On backward smoothing algorithms
- Total variation bound for Milstein scheme without iterated integrals
- Exponential quasi-ergodicity for processes with discontinuous trajectories
- Bias of particle approximations to optimal filter derivative
- Properties of marginal sequential Monte Carlo methods
- Noise-free sampling algorithms via regularized Wasserstein proximals
- Analysis of distributed systems via quasi-stationary distributions
- Uniform convergence of penalized time-inhomogeneous Markov processes
- Advanced Multilevel Monte Carlo Methods
- On a representation of partially-distinguishable populations
- A note on random walks with absorbing barriers and sequential Monte Carlo methods
- Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models
- Recent advances in the long-time analysis of killed degenerate processes and their particle approximation
- Mining the hidden link structure from distribution flows for a spatial social network
- Swarm gradient dynamics for global optimization: the mean-field limit case
- The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems
- A polynomial chaos expansion in dependent random variables
- On the Hill relation and the mean reaction time for metastable processes
- Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation
- Asymptotic analysis of model selection criteria for general hidden Markov models
- Coupled quantum harmonic oscillators and Feynman-Kac path integrals for linear diffusive particles
- Unbiased filtering of a class of partially observed diffusions
- Particle methods: an introduction with applications
- An Invitation to Sequential Monte Carlo Samplers
- Adaptive multilevel splitting: historical perspective and recent results
- On synchronized Fleming-Viot particle systems
- Wiener-Hermite polynomial expansion for multivariate Gaussian probability measures
- Approximate Bayesian Computation for a Class of Time Series Models
- A perturbation analysis of stochastic matrix Riccati diffusions
- Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
- On the role of interaction in sequential Monte Carlo algorithms
- On the convergence of adaptive sequential Monte Carlo methods
- A Particle Method for Solving Fredholm Equations of the First Kind
- On quantitative convergence to quasi-stationarity
- Approximate Bayesian Computation for Smoothing
- Multilevel particle filters for the non-linear filtering problem in continuous time
- Limit theorems for cloning algorithms
- Lower bound for the coarse Ricci curvature of continuous-time pure-jump processes
- A tutorial on particle filters
- Multivariable feedback particle filter
- Rare event simulation for stochastic dynamics in continuous time
- Feynman-Kac particle integration with geometric interacting jumps
- On the stability of Kalman-Bucy diffusion processes
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
- On resampling schemes for particle filters with weakly informative observations
- Practical criteria for \(R\)-positive recurrence of unbounded semigroups
- On the stability and the uniform propagation of chaos of a class of extended ensemble Kalman-Bucy filters
- Yaglom-type limit theorems for branching Brownian motion with absorption
- Computing return times or return periods with rare event algorithms
- A second order analysis of McKean-Vlasov semigroups
- Application of adaptive multilevel splitting to high-dimensional dynamical systems
- A practical example for the non-linear Bayesian filtering of model parameters
- Learning Interaction Kernels in Mean-Field Equations of First-Order Systems of Interacting Particles
- Convergence of a particle approximation for the quasi-stationary distribution of a diffusion process: Uniform estimates in a compact soft case
- Unbiased estimation of the gradient of the log-likelihood in inverse problems
- Unbiased estimation of the solution to Zakai's equation
- Sequential Monte Carlo methods for Bayesian elliptic inverse problems
- A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
- A sharp first order analysis of Feynman-Kac particle models. II: Particle Gibbs samplers
- Importance sampling for McKean-Vlasov SDEs
- A stable particle filter for a class of high-dimensional state-space models
- Exponential convergence to quasi-stationary distribution and \(Q\)-process
- Ergodic behavior of non-conservative semigroups via generalized Doeblin's conditions
- A mean field theory of nonlinear filtering
- Error estimates on ergodic properties of discretized Feynman-Kac semigroups
- Nonasymptotic analysis of adaptive and annealed Feynman-Kac particle models
- A non‐conservative Harris ergodic theorem
- Multilevel Particle Filters
- Backward Itô-Ventzell and stochastic interpolation formulae
- Derivative-Free Bayesian Inversion Using Multiscale Dynamics
- Tempered particle filtering
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- Multilevel particle filters: normalizing constant estimation
- On Stability of a Class of Filters for Nonlinear Stochastic Systems
- A duality formula for Feynman-Kac path particle models
- Propagation of chaos: a review of models, methods and applications. II: Applications
- Biased online parameter inference for state-space models
- Some contributions to sequential Monte Carlo methods for option pricing
- Stochastic mean-field approach to fluid dynamics
- General criteria for the study of quasi-stationarity
- The sample size required in importance sampling
- On the foundations and the applications of evolutionary computing
- Uniform in time propagation of chaos for a Moran model
- Numerically stable online estimation of variance in particle filters
- On one-dimensional Riccati diffusions
- Error bounds for sequential Monte Carlo samplers for multimodal distributions
- Numerical study of extreme mechanical force exerted by a turbulent flow on a bluff body by direct and rare-event sampling techniques
- Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
- Multilevel sequential Monte Carlo samplers
- Nonlinear Young integrals and differential systems in Hölder media
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