Sequential Monte Carlo sampling in hidden Markov models of nonlinear dynamical systems

DOI10.1016/J.AMC.2014.02.012MaRDI QIDQ272665zbMATH OpenOpenAlexFDO

Authors X. Zeng, Mihai Anitescu

Publication date 20 April 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2014.02.012

zbMATH Keywords

hidden Markov modelordinary differential equationchemical processsequential Monte Carlo methods

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sampling theory, sample surveys (62D05)

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Cites work

• scientific article; zbMATH DE number 5919872 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• scientific article; zbMATH DE number 3088537 (Why is no real title available?)
• Algorithm 755: ADOL-C
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Hidden Markov models in finance
• Methods for approximating integrals in statistics with special emphasis on Bayesian integration problems
• Monte Carlo strategies in scientific computing.
• Recursive Monte Carlo filters: algorithms and theoretical analysis

Cited in

(5)

• Markov chain Monte Carlo estimation of nonlinear dynamics from time series
• Sequential Monte Carlo Techniques for Solving Non-Linear Systems
• Analysis of a sequential Monte Carlo method for optimization in dynamical systems
• A reservoir-driven non-stationary hidden Markov model
• On the effectiveness of Monte Carlo for initial uncertainty forecasting in nonlinear dynamical systems

Describes a project that uses

Uses Software

• SISTOS
• TAO
• CVODES
• PETSc
• ADIC
• ADOL-C

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