On the role of interaction in sequential Monte Carlo algorithms
From MaRDI portal
Publication:5963509
DOI10.3150/14-BEJ666zbMath1388.65009arXiv1309.2918OpenAlexW1824867259MaRDI QIDQ5963509
Nick Whiteley, Anthony J. T. Lee, Kari Heine
Publication date: 22 February 2016
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.2918
Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Numerical analysis or methods applied to Markov chains (65C40)
Related Items (13)
An Invitation to Sequential Monte Carlo Samplers ⋮ Fluctuations, stability and instability of a distributed particle filter with local exchange ⋮ Sequential ensemble transform for Bayesian inverse problems ⋮ The sample size required in importance sampling ⋮ Rethinking the Effective Sample Size ⋮ A fast particle-based approach for calibrating a 3-D model of the Antarctic ice sheet ⋮ Adaptive tuning of Hamiltonian Monte Carlo within sequential Monte Carlo ⋮ Sequential Monte Carlo as approximate sampling: bounds, adaptive resampling via \(\infty\)-ESS, and an application to particle Gibbs ⋮ Smoothing With Couplings of Conditional Particle Filters ⋮ Importance sampling: intrinsic dimension and computational cost ⋮ Sequential Bayesian inference for implicit hidden Markov models and current limitations ⋮ Forest resampling for distributed sequential Monte Carlo ⋮ On resampling schemes for particle filters with weakly informative observations
Cites Work
- Unnamed Item
- Particle filters
- Stability properties of some particle filters
- On adaptive resampling strategies for sequential Monte Carlo methods
- Particle filters with random resampling times
- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
- Twisted particle filters
- Mean Field Simulation for Monte Carlo Integration
- Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
- Sequential Monte Carlo Samplers
- Filtering via Simulation: Auxiliary Particle Filters
- Decentralized Particle Filter With Arbitrary State Decomposition
- Blind Deconvolution via Sequential Imputations
- Resampling algorithms and architectures for distributed particle filters
- On parallel implementation of sequential Monte Carlo methods: the island particle model
This page was built for publication: On the role of interaction in sequential Monte Carlo algorithms