On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization

DOI10.1007/S11222-011-9294-4zbMATH Open1322.65004OpenAlexW1993585713MaRDI QIDQ746254FDOQ746254

Authors: Joaquín Míguez, Dan Crisan, P. M. Djurić 

Publication date: 16 October 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-011-9294-4

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zbMATH Keywords

sequential Monte Carloglobal optimizationstate space modelsconvergence of particle filtersMAP sequence estimation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sequential estimation (62L12)

Cites Work

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Cited In (15)

• Parallel sequential Monte Carlo for stochastic gradient-free nonconvex optimization
• Nudging the particle filter
• On the performance of particle filters with adaptive number of particles
• 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
• Maximum a posteriori sequence estimation using Monte Carlo particle filters
• Nested particle filters for online parameter estimation in discrete-time state-space Markov models
• The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems

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