Related papers: Asynchronous Anytime Sequential Monte Carlo
Computing systems interacting with real-world processes must safely and reliably process uncertain data. The Monte Carlo method is a popular approach for computing with such uncertain values. This article introduces a framework for…
Monte Carlo methods use random sampling to estimate numerical quantities which are hard to compute deterministically. One important example is the use in statistical physics of rapidly mixing Markov chains to approximately compute partition…
This paper presents a new approach to automatically discovering accurate models of complex time series data. Working within a Bayesian nonparametric prior over a symbolic space of Gaussian process time series models, we present a novel…
Automatic differentiation (AD) has driven recent advances in machine learning, including deep neural networks and Hamiltonian Markov Chain Monte Carlo methods. Partially observed nonlinear stochastic dynamical systems have proved resistant…
Sequential Monte Carlo (SMC) methods are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. We propose a new SMC algorithm to compute the expectation of additive functionals recursively.…
Sequential Monte Carlo (SMC) methods are not only a popular tool in the analysis of state space models, but offer an alternative to MCMC in situations where Bayesian inference must proceed via simulation. This paper introduces a new SMC…
SMC$^2$ is an efficient algorithm for sequential estimation and state inference of state-space models. It generates $N_{\theta}$ parameter particles $\theta^{m}$, and, for each $\theta^{m}$, it runs a particle filter of size $N_{x}$ (i.e.…
We investigate the properties of a sequential Monte Carlo method where the particle weight that appears in the algorithm is estimated by a positive, unbiased estimator. We present broadly-applicable convergence results, including a central…
We present a new approach-the ALVar estimator-to estimation of asymptotic variance in sequential Monte Carlo methods, or, particle filters. The method, which adjusts adaptively the lag of the estimator proposed in [Olsson, J. and Douc, R.…
This paper presents a deep machine learning architecture, the "polyharmonic cascade" -- a sequence of packages of polyharmonic splines, where each layer is rigorously derived from the theory of random functions and the principles of…
We derive and study SQMC (Sequential Quasi-Monte Carlo), a class of algorithms obtained by introducing QMC point sets in particle filtering. SQMC is related to, and may be seen as an extension of, the array-RQMC algorithm of L'Ecuyer et al.…
Irreversible and rejection-free Monte Carlo methods, recently developed in Physics under the name Event-Chain and known in Statistics as Piecewise Deterministic Monte Carlo (PDMC), have proven to produce clear acceleration over standard…
Particle filter (PF) sequential Monte Carlo (SMC) methods are very attractive for the estimation of parameters of time dependent systems where the data is either not all available at once, or the range of time constants is wide enough to…
The likelihood-free sequential Approximate Bayesian Computation (ABC) algorithms, are increasingly popular inference tools for complex biological models. Such algorithms proceed by constructing a succession of probability distributions over…
Applications that require substantial computational resources today cannot avoid the use of heavily parallel machines. Embracing the opportunities of parallel computing and especially the possibilities provided by a new generation of…
In modern days, the ability to carry out computations in parallel is key to efficient implementations of computationally intensive algorithms. This paper investigates the applicability of the previously proposed Augmented Island Resampling…
Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm,…
Recently there have been exciting developments in Monte Carlo methods, with the development of new MCMC and sequential Monte Carlo (SMC) algorithms which are based on continuous-time, rather than discrete-time, Markov processes. This has…
We explore a general framework in Markov chain Monte Carlo (MCMC) sampling where sequential proposals are tried as a candidate for the next state of the Markov chain. This sequential-proposal framework can be applied to various existing…
In this paper we introduce a new algorithm for American Monte Carlo that can be used either for American-style options, callable structured products or for computing counterparty credit risk (e.g. CVA or PFE computation). Leveraging least…