On adaptive resampling strategies for sequential Monte Carlo methods

From MaRDI portal
Publication:408101


DOI10.3150/10-BEJ335zbMath1236.60072arXiv1203.0464WikidataQ55951932 ScholiaQ55951932MaRDI QIDQ408101

Ajay Jasra, Pierre Del Moral, Arnaud Doucet

Publication date: 29 March 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.0464


60J22: Computational methods in Markov chains


Related Items

Multilevel Particle Filters, Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions, On the Foundations and the Applications of Evolutionary Computing, Central limit theorems for coupled particle filters, Delayed Acceptance ABC-SMC, A stable particle filter for a class of high-dimensional state-space models, Error Bounds and Normalising Constants for Sequential Monte Carlo Samplers in High Dimensions, On parallel implementation of sequential Monte Carlo methods: the island particle model, On the role of interaction in sequential Monte Carlo algorithms, A Wasserstein coupled particle filter for multilevel estimation, A Particle Method for Solving Fredholm Equations of the First Kind, Adaptive online variance estimation in particle filters: the ALVar estimator, On the convergence of adaptive sequential Monte Carlo methods, Stability properties of some particle filters, Free energy computations by minimization of Kullback-Leibler divergence: An efficient adaptive biasing potential method for sparse representations, Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae, Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers, Multilevel sequential Monte Carlo samplers, An adaptive sequential Monte Carlo method for approximate Bayesian computation, Filtering via approximate Bayesian computation, Unbiased estimation of the solution to Zakai's equation, Adaptive sequential Monte Carlo by means of mixture of experts, A Bayesian mixture of Lasso regressions with \(t\)-errors, Residual and stratified branching particle filters, Likelihood-free Bayesian estimation of multivariate quantile distributions, Gaussian process hyper-parameter estimation using parallel asymptotically independent Markov sampling, A coherent structure approach for parameter estimation in Lagrangian data assimilation, A simple numerical method based simultaneous stochastic perturbation for estimation of high dimensional matrices, Multimodal, high-dimensional, model-based, Bayesian inverse problems with applications in biomechanics, Sequentially adaptive Bayesian learning algorithms for inference and optimization, Distributed navigation system for uniaxial wheeled modules, Optimisation of interacting particle systems for rare event estimation, Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods, On the Hill relation and the mean reaction time for metastable processes, Sequential Bayesian inference for vector autoregressions with stochastic volatility, Multilevel particle filters for the non-linear filtering problem in continuous time, Fluctuations, stability and instability of a distributed particle filter with local exchange, Inference for a class of partially observed point process models, On the stability of sequential Monte Carlo methods in high dimensions, Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models, Feynman-Kac Particle Integration with Geometric Interacting Jumps, Parameter Estimation for Hidden Markov Models with Intractable Likelihoods, Efficient particle filtering for stochastic Korteweg–de Vries equations, Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions, Sequential Monte Carlo Methods for Option Pricing, Particle methods: An introduction with applications



Cites Work