On adaptive resampling strategies for sequential Monte Carlo methods
From MaRDI portal
(Redirected from Publication:408101)
Abstract: Sequential Monte Carlo (SMC) methods are a class of techniques to sample approximately from any sequence of probability distributions using a combination of importance sampling and resampling steps. This paper is concerned with the convergence analysis of a class of SMC methods where the times at which resampling occurs are computed online using criteria such as the effective sample size. This is a popular approach amongst practitioners but there are very few convergence results available for these methods. By combining semigroup techniques with an original coupling argument, we obtain functional central limit theorems and uniform exponential concentration estimates for these algorithms.
Recommendations
- An adaptive sequential Monte Carlo sampler
- On the convergence of adaptive sequential Monte Carlo methods
- Stratification and optimal resampling for sequential Monte Carlo
- Sequential Monte Carlo as approximate sampling: bounds, adaptive resampling via \(\infty\)-ESS, and an application to particle Gibbs
- Independent Resampling Sequential Monte Carlo Algorithms
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- Stopping-Time Resampling for Sequential Monte Carlo Methods
- Adaptive strategy for stratified Monte Carlo sampling
- A framework for adaptive Monte Carlo procedures
- On adaptive Markov chain Monte Carlo algorithms
Cites work
- scientific article; zbMATH DE number 1500585 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- Blind Deconvolution via Sequential Imputations
- Inference in hidden Markov models.
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- Monte Carlo strategies in scientific computing
- Sequential Monte Carlo Methods in Practice
Cited in
(69)- Persistent sampling: enhancing the efficiency of sequential Monte Carlo
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- On the convergence of quantum and sequential Monte Carlo methods
- Foreword. On sequential Monte Carlo: an overview
- On the Hill relation and the mean reaction time for metastable processes
- Market-based insurance ratemaking: application to pet insurance
- Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
- Efficient particle filtering for stochastic Korteweg-de Vries equations
- Residual and stratified branching particle filters
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- Filtering via approximate Bayesian computation
- Stopping-Time Resampling for Sequential Monte Carlo Methods
- Particle methods: an introduction with applications
- A Wasserstein coupled particle filter for multilevel estimation
- Sequential Monte Carlo for cut-Bayesian posterior computation
- An Invitation to Sequential Monte Carlo Samplers
- Free energy computations by minimization of Kullback-Leibler divergence: An efficient adaptive biasing potential method for sparse representations
- Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models
- Without-replacement sampling for particle methods on finite state spaces
- Sequential Bayesian inference for vector autoregressions with stochastic volatility
- Fast and Numerically Stable Particle-Based Online Additive Smoothing: The AdaSmooth Algorithm
- Distributed navigation system for uniaxial wheeled modules
- An adaptive sequential Monte Carlo sampler
- A Bayesian mixture of Lasso regressions with t-errors
- Adapting the Number of Particles in Sequential Monte Carlo Methods Through an Online Scheme for Convergence Assessment
- Gaussian process hyper-parameter estimation using parallel asymptotically independent Markov sampling
- On the stability of sequential Monte Carlo methods in high dimensions
- Delayed Acceptance ABC-SMC
- Variance estimation in adaptive sequential Monte Carlo
- On the convergence of adaptive sequential Monte Carlo methods
- Combined use of importance weights and resampling weights in sequential Monte Carlo methods
- Likelihood-free Bayesian estimation of multivariate quantile distributions
- On the role of interaction in sequential Monte Carlo algorithms
- A Particle Method for Solving Fredholm Equations of the First Kind
- A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
- Optimisation of interacting particle systems for rare event estimation
- Adaptive online variance estimation in particle filters: the ALVar estimator
- Fluctuations, stability and instability of a distributed particle filter with local exchange
- Multilevel particle filters for the non-linear filtering problem in continuous time
- Efficient training of energy-based models using Jarzynski equality
- Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions
- Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers
- Improving SAMC using smoothing methods: Theory and applications to Bayesian model selection problems
- Negative association, ordering and convergence of resampling methods
- Feynman-Kac particle integration with geometric interacting jumps
- Sequential Monte Carlo methods for option pricing
- Central limit theorems for coupled particle filters
- Adaptive sequential Monte Carlo by means of mixture of experts
- Non-asymptotic error bounds for sequential MCMC methods
- Parameter estimation for hidden Markov models with intractable likelihoods
- Unbiased estimation of the solution to Zakai's equation
- Sequentially adaptive Bayesian learning algorithms for inference and optimization
- Stability properties of some particle filters
- A stable particle filter for a class of high-dimensional state-space models
- Sequential Kalman tuning of the t-preconditioned Crank-Nicolson algorithm: efficient, adaptive and gradient-free inference for Bayesian inverse problems
- Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
- Multilevel Particle Filters
- Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions
- Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
- On parallel implementation of sequential Monte Carlo methods: the island particle model
- A coherent structure approach for parameter estimation in Lagrangian data assimilation
- A note on random walks with absorbing barriers and sequential Monte Carlo methods
- A simple numerical method based simultaneous stochastic perturbation for estimation of high dimensional matrices
- Inference for a class of partially observed point process models
- Multimodal, high-dimensional, model-based, Bayesian inverse problems with applications in biomechanics
- Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
- Bayesian deep learning with multilevel trace-class neural networks
- On the foundations and the applications of evolutionary computing
- Multilevel sequential Monte Carlo samplers
This page was built for publication: On adaptive resampling strategies for sequential Monte Carlo methods
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q408101)
