The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems
From MaRDI portal
Publication:6126807
DOI10.1214/23-aap1996arXiv2110.15782OpenAlexW4391483383MaRDI QIDQ6126807
Juan Kuntz, Adam M. Johansen, Francesca R. Crucinio
Publication date: 10 April 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.15782
strong law of large numberscentral limit theoremdistributed computingBayesian inferenceinteracting particle systemsproduct-form estimators
Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Strong limit theorems (60F15)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The pseudo-marginal approach for efficient Monte Carlo computations
- On particle methods for parameter estimation in state-space models
- On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization
- A note on auxiliary particle filters
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- The existence of regular conditional probabilities: Necessary and sufficient conditions
- Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
- Central limit theorem for nonlinear filtering and interacting particle systems
- Nonlinear filtering and measure-valued processes
- Joining and splitting models with Markov melding
- Product-form estimators: exploiting independence to scale up Monte Carlo
- Negative association, ordering and convergence of resampling methods
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Mean Field Simulation for Monte Carlo Integration
- Sequential Monte Carlo Samplers
- Particle methods: An introduction with applications
- An Efficient Method for Generating Discrete Random Variables with General Distributions
- Sequential Imputations and Bayesian Missing Data Problems
- A sequential particle filter method for static models
- Filtering via Simulation: Auxiliary Particle Filters
- Variance estimation in the particle filter
- Particle Markov Chain Monte Carlo Methods
- Monte Carlo fusion
- Global Consensus Monte Carlo
- Asymptotically Exact Data Augmentation: Models, Properties, and Algorithms
- An Introduction to Sequential Monte Carlo
- Foundations of Modern Probability
- DESIGN BASED INCOMPLETE U-STATISTICS
- EXTENSIONS OF SEVERAL CLASSICAL RESULTS FOR INDEPENDENT AND IDENTICALLY DISTRIBUTED RANDOM VARIABLES TO CONDITIONAL CASES
- A survey of convergence results on particle filtering methods for practitioners
- Almost sure weak convergence of random probability measures
- Independent Particle Filters
- Large-sample asymptotics of the pseudo-marginal method
- Monte Carlo strategies in scientific computing
