Related papers: Limit theorems for weighted samples with applicati…
Sequential Monte Carlo techniques are useful for state estimation in non-linear, non-Gaussian dynamic models. These methods allow us to approximate the joint posterior distribution using sequential importance sampling. In this framework,…
In online clustering problems, there is often a large amount of uncertainty over possible cluster assignments that cannot be resolved until more data are observed. This difficulty is compounded when clusters follow complex distributions, as…
We prove a bound on the finite sample error of sequential Monte Carlo (SMC) on static spaces using the $L_2$ distance between interpolating distributions and the mixing times of Markov kernels. This result is unique in that it is the first…
Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use…
The problem of sampling constrained continuous distributions has frequently appeared in many machine/statistical learning models. Many Monte Carlo Markov Chain (MCMC) sampling methods have been adapted to handle different types of…
Inference-time methods that aggregate and prune multiple samples have emerged as a powerful paradigm for steering large language models, yet we lack any principled understanding of their accuracy-cost tradeoffs. In this paper, we introduce…
In this paper, we provide bounds on the asymptotic variance for a class of sequential Monte Carlo (SMC) samplers designed for approximating multimodal distributions. Such methods combine standard SMC methods and Markov chain Monte Carlo…
Sequential Monte Carlo (SMC), or particle filtering, is a popular class of methods for sampling from an intractable target distribution using a sequence of simpler intermediate distributions. Like other importance sampling-based methods,…
Sequential Monte Carlo (SMC), also known as particle filters, has been widely accepted as a powerful computational tool for making inference with dynamical systems. A key step in SMC is resampling, which plays the role of steering the…
Quantum mechanics for many-body systems may be reduced to the evaluation of integrals in 3N dimensions using Monte-Carlo, providing the Quantum Monte Carlo ab initio methods. Here we limit ourselves to expectation values for trial…
Sequential Monte Carlo algorithms (also known as particle filters) are popular methods to approximate filtering (and related) distributions of state-space models. However, they converge at the slow $1/\sqrt{N}$ rate, which may be an issue…
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.…
We prove bounds on the variance of a function $f$ under the empirical measure of the samples obtained by the Sequential Monte Carlo (SMC) algorithm, with time complexity depending on local rather than global Markov chain mixing dynamics.…
State-space models have been used in many applications, including econometrics, engineering, medical research, etc. The maximum likelihood estimation (MLE) of the static parameter of general state-space models is not straightforward because…
We present an original simulation-based method to estimate likelihood ratios efficiently for general state-space models. Our method relies on a novel use of the conditional Sequential Monte Carlo (cSMC) algorithm introduced in…
Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to…
We propose a novel sequential Monte Carlo (SMC) method for sampling from unnormalized target distributions based on a reverse denoising diffusion process. While recent diffusion-based samplers simulate the reverse diffusion using…
Recursive Monte Carlo filters, also called particle filters, are a powerful tool to perform computations in general state space models. We discuss and compare the accept--reject version with the more common sampling importance resampling…
Sequential Monte Carlo (SMC) methods are widely used to draw samples from intractable target distributions. Particle degeneracy can hinder the use of SMC when the target distribution is highly constrained or multimodal. As a motivating…
We introduce a general Monte Carlo method based on Nested Sampling (NS), for sampling complex probability distributions and estimating the normalising constant. The method uses one or more particles, which explore a mixture of nested…