Sequential Monte Carlo Samplers
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Publication:3408541
DOI10.1111/J.1467-9868.2006.00553.XzbMATH Open1105.62034arXivcond-mat/0212648OpenAlexW2147357149WikidataQ55880696 ScholiaQ55880696MaRDI QIDQ3408541FDOQ3408541
Authors: Pierre Del Moral, Arnaud Doucet, Ajay Jasra 
Publication date: 14 November 2006
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Abstract: This paper shows how one can use Sequential Monte Carlo methods to perform what is typically done using Markov chain Monte Carlo methods. This leads to a general class of principled integration and genetic type optimization methods based on interacting particle systems.
Full work available at URL: https://arxiv.org/abs/cond-mat/0212648
Recommendations
simulated annealingimportance samplingresamplingMarkov chain Monte Carlo methodssequential Monte Carlo methodsratio of normalizing constants
Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sequential estimation (62L12)
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