On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization
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Cites work
- scientific article; zbMATH DE number 1666084 (Why is no real title available?)
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- A Basic Convergence Result for Particle Filtering
- A numerical evaluation of several stochastic algorithms on selected continuous global optimization test problems
- Fundamentals of stochastic filtering
- How to correctly calculate discounted healthcare costs and benefits
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- Maximum a posteriori sequence estimation using Monte Carlo particle filters
- Minimax optimization of investment portfolio by quantile criterion
- Monte Carlo Smoothing for Nonlinear Time Series
- On a class of discrete generation interacting particle systems
- Sequential Monte Carlo Methods for Dynamic Systems
- Sequential Monte Carlo Methods in Practice
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
- Stochastic optimization models in finance
- The Bayesian Choice
- Uniform approximations of discrete-time filters
Cited in
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- Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes
- Stochastic global optimization as a filtering problem
- Importance sampling: intrinsic dimension and computational cost
- A Particle Method for Solving Fredholm Equations of the First Kind
- A Rao-blackwellized particle filter for joint parameter estimation and biomass tracking in a stochastic predator-prey system
- Properties of marginal sequential Monte Carlo methods
- Sequential Monte Carlo for maximum weight subgraphs with application to solving image jigsaw puzzles
- Particle-kernel estimation of the filter density in state-space models
- Posterior exploration based sequential Monte Carlo for global optimization
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