A nonasymptotic theorem for unnormalized Feynman-Kac particle models
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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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Cites work
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- A note on auxiliary particle filters
- Adaptive Multilevel Splitting for Rare Event Analysis
- Genetic genealogical models in rare event analysis
- RARE EVENT SIMULATION
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo Samplers
- Sharp Propagation of Chaos Estimates for Feynman–Kac Particle Models
- Splitting for rare event simulation: A large deviation approach to design and analysis
- Tree based functional expansions for Feynman--Kac particle models
Cited in
(55)- Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
- An Invitation to Sequential Monte Carlo Samplers
- A Bayesian mixture of Lasso regressions with \(t\)-errors
- Multilevel particle filters: normalizing constant estimation
- Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
- Annealed Feynman-Kac models
- Forest resampling for distributed sequential Monte Carlo
- Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
- Sequential Monte Carlo methods for option pricing
- Optimal potential functions for the interacting particle system method
- A Berry-Esseen theorem for Feynman-Kac and interacting particle models
- Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
- On the role of interaction in sequential Monte Carlo algorithms
- On the convergence of adaptive sequential Monte Carlo methods
- Sampling per mode for rare event simulation in switching diffusions
- Rare Event Simulation Using Reversible Shaking Transformations
- Bayesian parameter inference for partially observed stopped processes
- Sequential Monte Carlo for rare event estimation
- Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
- Twisted particle filters
- Sequential Bayesian inference for implicit hidden Markov models and current limitations
- Approximate Bayesian Computation for a Class of Time Series Models
- Alive SMC\(^{2}\): Bayesian model selection for low-count time series models with intractable likelihoods
- Gradient free parameter estimation for hidden Markov models with intractable likelihoods
- Nonasymptotic analysis of adaptive and annealed Feynman-Kac particle models
- Particle methods: an introduction with applications
- Finite-sample complexity of sequential Monte Carlo estimators
- The alive particle filter and its use in particle Markov chain Monte Carlo
- A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
- A sharp first order analysis of Feynman-Kac particle models. II: Particle Gibbs samplers
- Likelihood computation for hidden Markov models via generalized two-filter smoothing
- On particle methods for parameter estimation in state-space models
- Stability properties of some particle filters
- On the convergence of quantum and sequential Monte Carlo methods
- Feynman-Kac particle integration with geometric interacting jumps
- A note on random walks with absorbing barriers and sequential Monte Carlo methods
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- A Convergent Interacting Particle Method and Computation of KPP Front Speeds in Chaotic Flows
- An algorithm for approximating the second moment of the normalizing constant estimate from a particle filter
- Biased online parameter inference for state-space models
- Fluctuations, stability and instability of a distributed particle filter with local exchange
- On resampling schemes for particle filters with weakly informative observations
- Splitting algorithms for rare event simulation over long time intervals
- Variance estimation in adaptive sequential Monte Carlo
- \(L^p\) estimates for Feynman-Kac propagators with time-dependent reference measures
- Sequentially constrained Monte Carlo
- A stable particle filter for a class of high-dimensional state-space models
- Snell envelope with small probability criteria
- Simulation and estimation of extreme quantiles and extreme probabilities
- Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models
- A duality formula for Feynman-Kac path particle models
- Exact inference for a class of hidden Markov models on general state spaces
- On the foundations and the applications of evolutionary computing
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