Related papers: Feynman-Kac particle integration with geometric in…
Interacting particle methods are increasingly used to sample from complex and high-dimensional distributions. These stochastic particle integration techniques can be interpreted as an universal acceptance-rejection sequential particle…
This article develops a methodology allowing application of the complete machinery of particle-based inference methods upon the class of continuous-discrete State Space Models (CD-SSMs). Such models correspond to a latent continuous-time…
Sequential and quantum Monte Carlo methods, as well as genetic type search algorithms can be interpreted as a mean field and interacting particle approximations of Feynman-Kac models in distribution spaces. The performance of these…
Discretizations of the Feynman-Kac path integral representation of the quantum mechanical density matrix are investigated. Each infinite-dimensional path integral is approximated by a Riemann integral over a finite-dimensional function…
This article provides a new theory for the analysis of forward and backward particle approximations of Feynman-Kac models. Such formulae are found in a wide variety of applications and their numerical (particle) approximation are required…
An adpative integration technique for time advancement of particle motion in the context of coupled computational fluid dynamics (CFD) - discrete element method (DEM) simulations is presented in this work. CFD-DEM models provide an accurate…
We provide and analyze the high order algorithms for the model describing the functional distributions of particles performing anomalous motion with power-law jump length and tempered power-law waiting time. The model is derived in [Wu,…
In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman-Kac particle approximation models. We design an original approach based on new Berry-Esseen type estimates for abstract martingale…
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
The TASEP (totally asymmetric simple exclusion process) is a basic model for an one-dimensional interacting particle system with non-reversible dynamics. Despite the simplicity of the model it shows a very rich and interesting behaviour. In…
We consider particle filters with weakly informative observations (or `potentials') relative to the latent state dynamics. The particular focus of this work is on particle filters to approximate time-discretisations of continuous-time…
We consider a discrete-time system of n coupled random vectors, a.k.a. interacting particles. The dynamics involve a vanishing step size, some random centered perturbations, and a mean vector field which induces the coupling between the…
Branching random walks are key to the description of several physical and biological systems, such as neutron multiplication, genetics and population dynamics. For a broad class of such processes, in this Letter we derive the discrete…
We present a simple derivation of a Feynman-Kac type formula to study fermionic systems. In this approach the real time or the imaginary time dynamics is expressed in terms of the evolution of a collection of Poisson processes. A computer…
The approximation of the Feynman-Kac semigroups by systems of interacting particles is a very active research field, with applications in many different areas. In this paper, we study the parallelization of such approximations. The total…
Continuous time Feynman-Kac measures on path spaces are central in applied probability, partial differential equation theory, as well as in quantum physics. This article presents a new duality formula between normalized Feynman-Kac…
Discrete diffusion models have recently emerged as a promising alternative to the autoregressive approach for generating discrete sequences. Sample generation via gradual denoising or demasking processes allows them to capture hierarchical…
These lecture notes present some new concentration inequalities for Feynman-Kac particle processes. We analyze different types of stochastic particle models, including particle profile occupation measures, genealogical tree based evolution…
This article analyzes the formulation of space-time continuous hyperbolic hydrodynamic models for systems of interacting particles moving on a lattice, by connecting their local stochastic lattice dynamics to the formulation of an…
The Feynman-Kac equations are a type of partial differential equations describing the distribution of functionals of diffusive motion. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, being a…