Waste-Free Sequential Monte Carlo

DOI10.1111/RSSB.12475MaRDI QIDQ5869184zbMATH OpenOpenAlexFDO

Authors Hai Dang Dau, Nicolas Chopin

Publication date 27 September 2022

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.02328

zbMATH Keywords

Markov chain Monte Carloparticle filteringsequential Monte Carlo

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(11)

• An Invitation to Sequential Monte Carlo Samplers
• Cost free hyper-parameter selection/averaging for Bayesian inverse problems with vanilla and Rao-blackwellized SMC samplers
• A log-Gaussian Cox process with sequential Monte Carlo for line narrowing in spectroscopy
• Solving Bayesian inverse problems with expensive likelihoods using constrained Gaussian processes and active learning
• Sequential Kalman tuning of the t-preconditioned Crank-Nicolson algorithm: efficient, adaptive and gradient-free inference for Bayesian inverse problems
• Generative Filtering for Recursive Bayesian Inference with Streaming Data
• Scalable Bayesian bi-level variable selection in generalized linear models
• Unbiased and consistent nested sampling via sequential Monte Carlo
• Towards a turnkey approach for unbiased Monte Carlo estimation of smooth functions of expectations
• Persistent sampling: enhancing the efficiency of sequential Monte Carlo
• A Mirror Descent Approach to Maximum Likelihood Estimation in Latent Variable Models

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