A nonasymptotic theorem for unnormalized Feynman-Kac particle models
DOI10.1214/10-AIHP358zbMATH Open1233.60047MaRDI QIDQ720734FDOQ720734
Authors: Frédéric Cérou, Pierre Del Moral, Arnaud Guyader 
Publication date: 11 October 2011
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/243964
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genetic algorithmsinteracting particle systemsrare eventsFeynman-Kac semigroupsBoltzmann-Gibbs measuresMonte Carlo modelsnonasymptotic estimates
Monte Carlo methods (65C05) Markov semigroups and applications to diffusion processes (47D07) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Population dynamics (general) (92D25) Combinatorial probability (60C05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stochastic particle methods (65C35) Integral representations, integral operators, integral equations methods in higher dimensions (31B10) Schrödinger and Feynman-Kac semigroups (47D08)
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- Sharp Propagation of Chaos Estimates for Feynman–Kac Particle Models
Cited In (55)
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- Alive SMC\(^{2}\): Bayesian model selection for low-count time series models with intractable likelihoods
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- Annealed Feynman-Kac models
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- Approximate Bayesian Computation for a Class of Time Series Models
- \(L^p\) estimates for Feynman-Kac propagators with time-dependent reference measures
- Simulation and estimation of extreme quantiles and extreme probabilities
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- Variance estimation in adaptive sequential Monte Carlo
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- Sampling per mode for rare event simulation in switching diffusions
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- Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
- A Berry-Esseen theorem for Feynman-Kac and interacting particle models
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- Sequential Monte Carlo methods for option pricing
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- On the foundations and the applications of evolutionary computing
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