Quasi-Stationary Monte Carlo and The Scale Algorithm

DOI10.1111/RSSB.12365MaRDI QIDQ5087172zbMATH OpenOpenAlexFDO

Authors Murray Pollock, Paul Fearnhead, Adam M. Johansen, Gareth O. Roberts

Publication date 8 July 2022

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1609.03436

zbMATH Keywords

control variatesimportance samplingkilled Brownian motionLangevin diffusionMarkov chain Monte Carlo samplingquasi-stationaritysequential Monte Carlo methods

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(11)

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• Computing Bayes: from then `til now
• Sampling using adaptive regenerative processes
• Perturbation theory for killed Markov processes and quasi-stationary distributions
• Condensation in Fleming-Viot particle systems with fast selection mechanism
• Long time behavior of killed Feynman-Kac semigroups with singular Schrödinger potentials
• Improving SAMC using smoothing methods: Theory and applications to Bayesian model selection problems

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