Sequential Monte Carlo Samplers
From MaRDI portal
Publication:3408541
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.
Recommendations
Cites work
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- A sequential particle filter method for static models
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Dynamically Weighted Importance Sampling in Monte Carlo Computation
- Filtering via Simulation: Auxiliary Particle Filters
- Following a moving target -- Monte Carlo inference for dynamic Bayesian models
- Integration of Multimodal Functions by Monte Carlo Importance Sampling
- Iterated importance sampling in missing data problems
- Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships
- Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
- Monte Carlo strategies in scientific computing
- On-Line Inference for Hidden Markov Models via Particle Filters
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Sequential Monte Carlo Methods for Dynamic Systems
- Sequential Monte Carlo Methods in Practice
- Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
Cited in
(only showing first 100 items - show all)- Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
- Partition-weighted Monte Carlo estimation
- An approximate likelihood perspective on ABC methods
- A Bayesian mixture of Lasso regressions with \(t\)-errors
- Bayesian threshold selection for extremal models using measures of surprise
- Efficient estimation of hydraulic conductivity heterogeneity with non-redundant measurement information
- Approximate Bayesian computational methods for the inference of unknown parameters
- Developments of the total entropy utility function for the dual purpose of model discrimination and parameter estimation in Bayesian design
- A likelihood-free filtering method via approximate Bayesian computation in evaluating biological simulation models
- Multilevel rejection sampling for approximate Bayesian computation
- Inference for differential equation models using relaxation via dynamical systems
- On the role of interaction in sequential Monte Carlo algorithms
- A Bayesian approach to multiscale inverse problems with on-the-fly scale determination
- Sequential Monte Carlo simulated annealing
- Thermodynamic Bayesian model comparison
- A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
- A practical example for the non-linear Bayesian filtering of model parameters
- Bayesian parameter inference for partially observed stopped processes
- Stochastic approximation Monte Carlo importance sampling for approximating exact conditional probabilities
- Multimodal, high-dimensional, model-based, Bayesian inverse problems with applications in biomechanics
- Sampling errors in nested sampling parameter estimation
- Adaptive Semiparametric Bayesian Differential Equations Via Sequential Monte Carlo
- Incremental Mixture Importance Sampling With Shotgun Optimization
- A Review of Modern Computational Algorithms for Bayesian Optimal Design
- A practical guide to the probability density approximation (PDA) with improved implementation and error characterization
- Bayesian model comparison with the Hyvärinen score: computation and consistency
- Gaussian process hyper-parameter estimation using parallel asymptotically independent Markov sampling
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Stability of sequential Markov Chain Monte Carlo methods
- Approximate Bayesian Computation for a Class of Time Series Models
- A frequency-calibrated Bayesian search for new particles
- Marginal reversible jump Markov chain Monte Carlo with application to motor unit number estimation
- Composite likelihood inference by nonparametric saddlepoint tests
- RMCMC: a system for updating Bayesian models
- Rao–Blackwellisation in the Markov Chain Monte Carlo Era
- Finite-sample complexity of sequential Monte Carlo estimators
- Transdimensional sequential Monte Carlo using variational Bayes -- SMCVB
- Leave Pima Indians alone: binary regression as a benchmark for Bayesian computation
- Inference of a mesoscopic population model from population spike trains
- Reflected stochastic differential equation models for constrained animal movement
- Particle methods for stochastic differential equation mixed effects models
- Posterior exploration based sequential Monte Carlo for global optimization
- Certified dimension reduction in nonlinear Bayesian inverse problems
- Rare event simulation and splitting for discontinuous random variables
- Feynman-Kac particle integration with geometric interacting jumps
- Data-free likelihood-informed dimension reduction of Bayesian inverse problems
- \(L^p\) estimates for Feynman-Kac propagators with time-dependent reference measures
- Bayesian estimation of dynamic asset pricing models with informative observations
- Rapid Bayesian Inference for Expensive Stochastic Models
- MCMC-driven importance samplers
- Bayesian computation: a summary of the current state, and samples backwards and forwards
- Sequential state inference of engineering systems through the particle move-reweighting algorithm
- Iterative importance sampling algorithms for parameter estimation
- Subsampling sequential Monte Carlo for static Bayesian models
- A coherent structure approach for parameter estimation in Lagrangian data assimilation
- Approximation of Bayesian predictive \(p\)-values with regression ABC
- Controlled sequential Monte Carlo
- On the foundations and the applications of evolutionary computing
- Adaptive Metropolis-Hastings sampling using reversible dependent mixture proposals
- Convergence rate of Markov chain methods for genomic motif discovery
- Conditional particle filters with diffuse initial distributions
- Accelerating sequential Monte Carlo with surrogate likelihoods
- Ensemble slice sampling. Parallel, black-box and gradient-free inference for correlated \& multimodal distributions
- Anytime parallel tempering
- Unbiased estimation of the gradient of the log-likelihood in inverse problems
- Calibrate, emulate, sample
- Optimal potential functions for the interacting particle system method
- Simple conditions for convergence of sequential Monte Carlo genealogies with applications
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Multilevel adaptive sparse Leja approximations for Bayesian inverse problems
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Efficient importance sampling in low dimensions using affine arithmetic
- Some contributions to sequential Monte Carlo methods for option pricing
- Knowledge elicitation via sequential probabilistic inference for high-dimensional prediction
- Quantum machine learning: a classical perspective
- Bayesian Subset Simulation
- Layered adaptive importance sampling
- Sequential Monte Carlo samplers with independent Markov chain Monte Carlo proposals
- Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
- Physics-constrained, data-driven discovery of coarse-grained dynamics
- Where Bayes tweaks Gauss: conditionally Gaussian priors for stable multi-dipole estimation
- Hopping between distant basins
- Sequential sampling of junction trees for decomposable graphs
- A semiautomatic method for history matching using sequential Monte Carlo
- Gradient free parameter estimation for hidden Markov models with intractable likelihoods
- Consistency of adaptive importance sampling and recycling schemes
- Efficient sequential Monte Carlo algorithms for integrated population models
- Bayesian learning of weakly structural Markov graph laws using sequential Monte Carlo methods
- A Laplace-based algorithm for Bayesian adaptive design
- Bayesian Model Selection for Exponential Random Graph Models via Adjusted Pseudolikelihoods
- Tempered particle filtering
- Error bounds for sequential Monte Carlo samplers for multimodal distributions
- Bayesian inference of random fields represented with the Karhunen-Loève expansion
- Fokker-Planck particle systems for Bayesian inference: computational approaches
- Reinforcement learning with limited reinforcement: using Bayes risk for active learning in POMDPs
- Nonexchangeable random partition models for microclustering
- Biased online parameter inference for state-space models
- Efficient MCMC for Gibbs random fields using pre-computation
- Sequential Monte Carlo with transformations
- Delayed Acceptance ABC-SMC
This page was built for publication: Sequential Monte Carlo Samplers
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3408541)
