Related papers: Particle MCMC with Poisson Resampling: Paralleliza…

Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Existing work on Bayesian decision trees uses MCMC.…

Particle discretizations of partial differential equations are advantageous for high-dimensional kinetic models in phase space due to their better scalability than continuum approaches with respect to dimension. Complex processes…

In parameter estimation problems one computes a posterior distribution over uncertain parameters defined jointly by a prior distribution, a model, and noisy data. Markov Chain Monte Carlo (MCMC) is often used for the numerical solution of…

We develop a (nearly) unbiased particle filtering algorithm for a specific class of continuous-time state-space models, such that (a) the latent process $X_t$ is a linear Gaussian diffusion; and (b) the observations arise from a Poisson…

This paper presents an algorithm for sampling random variables that allows to separation of the sampling process into subproblems by dividing the sample space into overlapping parts. The subproblems can be solved independently of each other…

Particle Markov Chain Monte Carlo methods are used to carry out inference in non-linear and non-Gaussian state space models, where the posterior density of the states is approximated using particles. Current approaches usually perform…

We consider deployment of the particle filter on modern massively parallel hardware architectures, such as Graphics Processing Units (GPUs), with a focus on the resampling stage. While standard multinomial and stratified resamplers require…

In simulations of partial differential equations using particle-in-cell (PIC) methods, it is often advantageous to resample the particle distribution function to increase simulation accuracy, reduce compute cost, and/or avoid numerical…

Sequential Monte Carlo (SMC) methods, also known as particle filters, constitute a class of algorithms used to approximate expectations with respect to a sequence of probability distributions as well as the normalising constants of those…

Particle Marginal Metropolis-Hastings (PMMH) is a general approach to Bayesian inference when the likelihood is intractable, but can be estimated unbiasedly. Our article develops an efficient PMMH method that scales up better to higher…

Sequential Monte Carlo squared (SMC$^2$; Chopin et al., 2012) methods can be used to sample from the exact posterior distribution of intractable likelihood state space models. These methods are the SMC analogue to particle Markov chain…

We introduce a new sequential Monte Carlo algorithm we call the particle cascade. The particle cascade is an asynchronous, anytime alternative to traditional particle filtering algorithms. It uses no barrier synchronizations which leads to…

Monte Carlo methods are essential tools for Bayesian inference. Gibbs sampling is a well-known Markov chain Monte Carlo (MCMC) algorithm, extensively used in signal processing, machine learning, and statistics, employed to draw samples from…

Sequential Monte Carlo (SMC) algorithms were originally designed for estimating intractable conditional expectations within state-space models, but are now routinely used to generate approximate samples in the context of general-purpose…

Particle filtering is a numerical Bayesian technique that has great potential for solving sequential estimation problems involving non-linear and non-Gaussian models. Since the estimation accuracy achieved by particle filters improves as…

"Particle methods" are sequential Monte Carlo algorithms, typically involving importance sampling, that are used to estimate and sample from joint and marginal densities from a collection of a, presumably increasing, number of random…

An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…

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…

Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms which are primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Single instances of MCMC methods are widely…

This paper proposes a new sampling-based nonlinear model predictive control (MPC) algorithm, with a bound on complexity quadratic in the prediction horizon N and linear in the number of samples. The idea of the proposed algorithm is to use…