Related papers: Recursive Monte Carlo filters: Algorithms and theo…
We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, which adjust control parameters in the course of simulation. We…
Sequential Monte Carlo (SMC) methods are a class of techniques to sample approximately from any sequence of probability distributions using a combination of importance sampling and resampling steps. This paper is concerned with the…
In this paper we discuss new adaptive proposal strategies for sequential Monte Carlo algorithms--also known as particle filters--relying on criteria evaluating the quality of the proposed particles. The choice of the proposal distribution…
Renewal models are widely used in statistical epidemiology as semi-mechanistic models of disease transmission. While primarily used for estimating the instantaneous reproduction number, they can also be used for generating projections,…
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
We consider the problem of designing efficient particle filters for twisted Feynman--Kac models. Particle filters using twisted models can deliver low error approximations of statistical quantities and such twisting functions can be learnt…
Particle filters are broadly used to approximate posterior distributions of hidden states in state-space models by means of sets of weighted particles. While the convergence of the filter is guaranteed when the number of particles tends to…
Sequential Monte Carlo (SMC) methods are a class of Monte Carlo methods that are used to obtain random samples of a high dimensional random variable in a sequential fashion. Many problems encountered in applications often involve different…
Sequential Monte Carlo methods are typically not straightforward to implement on parallel architectures. This is because standard resampling schemes involve communication between all particles. The $\alpha$-sequential Monte Carlo method was…
We introduce a general form of sequential Monte Carlo algorithm defined in terms of a parameterized resampling mechanism. We find that a suitably generalized notion of the Effective Sample Size (ESS), widely used to monitor algorithm…
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…
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…
Particle filtering is a standard Monte-Carlo approach for a wide range of sequential inference tasks. The key component of a particle filter is a set of particles with importance weights that serve as a proxy of the true posterior…
This paper addresses the problem of filtering with a state-space model. Standard approaches for filtering assume that a probabilistic model for observations (i.e. the observation model) is given explicitly or at least parametrically. We…
Monte Carlo simulations are widely used in many areas including particle accelerators. In this lecture, after a short introduction and reviewing of some statistical backgrounds, we will discuss methods such as direct inversion, rejection…
This paper extends the Multilevel Monte Carlo variance reduction technique to nonlinear filtering. In particular, Multilevel Monte Carlo is applied to a certain variant of the particle filter, the Ensemble Transform Particle Filter. A key…
Probabilistic (or Bayesian) modeling and learning offers interesting possibilities for systematic representation of uncertainty using probability theory. However, probabilistic learning often leads to computationally challenging problems.…
We present simple conditions under which the limiting genealogical process associated with a class of interacting particle systems with non-neutral selection mechanisms, as the number of particles grows, is a time-rescaled Kingman…
Modern parallel computing devices, such as the graphics processing unit (GPU), have gained significant traction in scientific and statistical computing. They are particularly well-suited to data-parallel algorithms such as the particle…
This paper introduces an open-ended sequential algorithm for computing the p-value of a test using Monte Carlo simulation. It guarantees that the resampling risk, the probability of a different decision than the one based on the theoretical…