scientific article; zbMATH DE number 2106098
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Publication:4819702
zbMATH Open1130.60003MaRDI QIDQ4819702FDOQ4819702
Authors: Pierre Del Moral 
Publication date: 4 October 2004
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central limit theoremasymptotic behaviorFeynman-Kac formulalarge deviation principleinteracting particle system
Interacting random processes; statistical mechanics type models; percolation theory (60K35) Population dynamics (general) (92D25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Research exposition (monographs, survey articles) pertaining to statistical mechanics (82-02) Interacting particle systems in time-dependent statistical mechanics (82C22) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)
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- Dynamiques recuites de type Feynman-Kac : résultats précis et conjectures
- Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman–Kac semigroups
- Forgetting the initial distribution for hidden Markov models
- Uniform time average consistency of Monte Carlo particle filters
- Residual and stratified branching particle filters
- Monte Carlo Methods for the Neutron Transport Equation
- Particle predictive control
- On the asymptotic normality of adaptive multilevel splitting
- Adaptive multilevel splitting: historical perspective and recent results
- On synchronized Fleming-Viot particle systems
- Free energy computations by minimization of Kullback-Leibler divergence: An efficient adaptive biasing potential method for sparse representations
- Stochastic global optimization as a filtering problem
- A central limit theorem for Fleming-Viot particle systems
- Fluctuations of interacting Markov chain Monte Carlo methods
- Stability of Feynman-Kac formulae with path-dependent potentials
- Sequentially interacting Markov chain Monte Carlo methods
- Sampling per mode for rare event simulation in switching diffusions
- Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach.
- Nonparametric multi-step prediction in nonlinear state space dynamic systems
- Improved diffusion Monte Carlo
- Stable approximation schemes for optimal filters
- Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
- Multilevel ensemble Kalman filtering for spatio-temporal processes
- Unscented/ensemble transform-based variational filter
- Sequential Monte Carlo as approximate sampling: bounds, adaptive resampling via \(\infty\)-ESS, and an application to particle Gibbs
- A new class of interacting Markov chain Monte Carlo methods
- Design of complex systems in the presence of large uncertainties: a statistical approach
- A branching particle approximation to a filtering micromovement model of asset price
- A Monte Carlo method for filtering a marked doubly stochastic Poisson process
- Meta-control of an interacting-particle algorithm for global optimization
- A Moran particle system approximation of Feynman-Kac formulae
- Book Review: Fundamentals of stochastic filtering
- Parallel sequential Monte Carlo samplers and estimation of the number of states in a hidden Markov model
- Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers
- Stochastic boosting algorithms
- Stochastic boosting algorithms
- A Rao-blackwellized particle filter for joint parameter estimation and biomass tracking in a stochastic predator-prey system
- Equilibrium sampling from nonequilibrium dynamics
- Dynamic filtering of static dipoles in magnetoencephalography
- Predictive control of discrete time stochastic nonlinear state space dynamical systems: a particle nonparametric approach
- The stability of conditional Markov processes and Markov chains in random environments
- On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization
- Rare Event Simulation Using Reversible Shaking Transformations
- Multilevel ensemble Kalman filtering
- Simulation-based optimal sensor scheduling with application to observer trajectory planning
- Randomized algorithms with splitting: Why the classic randomized algorithms do not work and how to make them work
- Accelerating inference for stochastic kinetic models
- A note on auxiliary particle filters
- Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
- Nonequilibrium Markov processes conditioned on large deviations
- Uniform ergodicity of the particle Gibbs sampler
- Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
- Trend to equilibrium and particle approximation for a weakly selfconsistent Vlasov-Fokker-Planck equation
- Multilevel Particle Filters
- Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
- The interacting-particle algorithm with dynamic heating and cooling
- Empirical measure and small noise asymptotics under large deviation scaling for interacting diffusions
- Inference for a class of partially observed point process models
- Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors
- Likelihood computation for hidden Markov models via generalized two-filter smoothing
- Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
- On the use of smoothing to improve the performance of the splitting method
- Multiplicative ergodic theorem for a non-irreducible random dynamical system
- Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
- Multilevel sequential Monte Carlo samplers
- On particle methods for parameter estimation in state-space models
- Finding the best resolution for the Kingman-Tajima coalescent: theory and applications
- Uniform Stability of a Particle Approximation of the Optimal Filter Derivative
- Augmentation schemes for particle MCMC
- Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
- Particle filters
- Delayed acceptance particle MCMC for exact inference in stochastic kinetic models
- Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Sequential Monte Carlo smoothing for general state space hidden Markov models
- Filtering via approximate Bayesian computation
- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- Particle filters for continuous likelihood evaluation and maximisation
- Computing transition rates for the 1-D stochastic Ginzburg-Landau-Allen-Cahn equation for finite-amplitude noise with a rare event algorithm
- Sequential Monte Carlo sampling in hidden Markov models of nonlinear dynamical systems
- Efficient sampling of conditioned Markov jump processes
- Particle Metropolis-Hastings using gradient and Hessian information
- On particle Gibbs sampling
- Robust filtering: correlated noise and multidimensional observation
- Smoothing algorithms for state-space models
- Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
- Genealogical particle analysis of rare events
- A generalized model of mutation-selection balance with applications to aging
- Sequential Monte Carlo for rare event estimation
- Twisted particle filters
- Importance sampling: intrinsic dimension and computational cost
- Enhanced consistency of the resampled convolution particle filter
- On the stability of sequential Monte Carlo methods in high dimensions
- Panel Data Analysis via Mechanistic Models
- Quasilimiting behavior for one-dimensional diffusions with killing
- Twisting the alive particle filter
- On the convergence of adaptive sequential Monte Carlo methods
- On adaptive resampling strategies for sequential Monte Carlo methods
- Stochastic enumeration method for counting NP-hard problems
- A class of measure-valued Markov chains and Bayesian nonparametrics
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