Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions
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Publication:2986699
DOI10.1080/07362994.2016.1272421zbMath1366.82048OpenAlexW2568188296MaRDI QIDQ2986699
Pierre Del Moral, Ajay Jasra, Kody J. H. Law
Publication date: 16 May 2017
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://www.osti.gov/biblio/1361332
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Related Items (6)
Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals ⋮ Advanced Multilevel Monte Carlo Methods ⋮ Multilevel Monte Carlo in approximate Bayesian computation ⋮ Multilevel sequential Monte Carlo for Bayesian inverse problems ⋮ Unbiased estimation of the gradient of the log-likelihood in inverse problems ⋮ Central limit theorems for coupled particle filters
Cites Work
- Stability properties of some particle filters
- On adaptive resampling strategies for sequential Monte Carlo methods
- Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
- Multilevel sequential Monte Carlo samplers
- Monte Carlo complexity of global solution of integral equations
- Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
- Complexity analysis of accelerated MCMC methods for Bayesian inversion
- Multilevel Monte Carlo Path Simulation
- Sequential Monte Carlo Samplers
- Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions
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