Related papers: Limit theorems for weighted samples with applicati…

Bayesian filtering aims at tracking sequentially a hidden process from an observed one. In particular, sequential Monte Carlo (SMC) techniques propagate in time weighted trajectories which represent the posterior probability density…

We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is…

This paper develops a novel sequential Monte Carlo (SMC) approach for joint state and parameter estimation that can deal efficiently with abruptly changing parameters which is a common case when tracking maneuvering targets. The approach…

An effective approach for sampling from unnormalized densities is based on the idea of gradually transporting samples from an easy prior to the complicated target distribution. Two popular methods are (1) Sequential Monte Carlo (SMC), where…

This work presents self-rewarding sequential Monte Carlo (SMC), an inference-time scaling algorithm enabling effective sampling of masked diffusion language models (MDLMs). Our algorithm stems from the observation that most existing MDLMs…

Sequential Monte Carlo (SMC) is a class of algorithms that approximate high-dimensional expectations of a Markov chain. SMC algorithms typically include a resampling step. There are many possible ways to resample, but the relative…

We introduce a new class of Sequential Monte Carlo (SMC) methods, which we call free energy SMC. This class is inspired by free energy methods, which originate from Physics, and where one samples from a biased distribution such that a given…

We describe a general strategy for sampling configurations from a given distribution, NOT based on the standard Metropolis (Markov chain) strategy. It uses the fact that nontrivial problems in statistical physics are high dimensional and…

We consider selecting the top-$m$ alternatives from a finite number of alternatives via Monte Carlo simulation. Under a Bayesian framework, we formulate the sampling decision as a stochastic dynamic programming problem, and develop a…

Many high dimensional optimization problems can be reformulated into a problem of finding theoptimal state path under an equivalent state space model setting. In this article, we present a general emulation strategy for developing a state…

Monte-Carlo (MC) methods, based on random updates and the trial-and-error principle, are well suited to retrieve particle size distributions from small-angle scattering patterns of dilute solutions of scatterers. The size sensitivity of…

Being the most classical generative model for serial data, state-space models (SSM) are fundamental in AI and statistical machine learning. In SSM, any form of parameter learning or latent state inference typically involves the computation…

Conventional Monte Carlo simulations are stochastic in the sense that the acceptance of a trial move is decided by comparing a computed acceptance probability with a random number, uniformly distributed between 0 and 1. Here we consider the…

We consider conditional tests for non-negative discrete exponential families. We develop two Markov Chain Monte Carlo (MCMC) algorithms which allow us to sample from the conditional space and to perform approximated tests. The first…

The multivariate extended skew-normal distribution allows for accommodating raw data which are skewed and heavy tailed, and has at least three appealing statistical properties, namely closure under conditioning, affine transformations, and…

Sequential Monte Carlo is a family of algorithms for sampling from a sequence of distributions. Some of these algorithms, such as particle filters, are widely used in the physics and signal processing researches. More recent developments…

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,…

In many real-world engineering systems, the performance or reliability of the system is characterised by a scalar parameter. The distribution of this performance parameter is important in many uncertainty quantification problems, ranging…

Monte Carlo (MC) sampling methods are widely applied in Bayesian inference, system simulation and optimization problems. The Markov Chain Monte Carlo (MCMC) algorithms are a well-known class of MC methods which generate a Markov chain with…

Monte Carlo methods are widely used importance sampling techniques for studying complex physical systems. Integrating these methods with deep learning has significantly improved efficiency and accuracy in high-dimensional problems and…