Population Monte Carlo algorithms
Abstract
We give a cross-disciplinary survey on ``population'' Monte Carlo algorithms. In these algorithms, a set of ``walkers'' or ``particles'' is used as a representation of a high-dimensional vector. The computation is carried out by a random walk and split/deletion of these objects. The algorithms are developed in various fields in physics and statistical sciences and called by lots of different terms -- ``quantum Monte Carlo'', ``transfer-matrix Monte Carlo'', ``Monte Carlo filter (particle filter)'',``sequential Monte Carlo'' and ``PERM'' etc. Here we discuss them in a coherent framework. We also touch on related algorithms -- genetic algorithms and annealed importance sampling.
Cite
@article{arxiv.cond-mat/0008226,
title = {Population Monte Carlo algorithms},
author = {Yukito IBA},
journal= {arXiv preprint arXiv:cond-mat/0008226},
year = {2015}
}
Comments
Title is changed (Population-based Monte Carlo -> Population Monte Carlo). A number of small but important corrections and additions. References are also added. Original Version is read at 2000 Workshop on Information-Based Induction Sciences (July 17-18, 2000, Syuzenji, Shizuoka, Japan). No figures