Sequential quasi-Monte Carlo: Introduction for Non-Experts, Dimension Reduction, Application to Partly Observed Diffusion Processes
Computation
2017-06-19 v1
Abstract
SMC (Sequential Monte Carlo) is a class of Monte Carlo algorithms for filtering and related sequential problems. Gerber and Chopin (2015) introduced SQMC (Sequential quasi-Monte Carlo), a QMC version of SMC. This paper has two objectives: (a) to introduce Sequential Monte Carlo to the QMC community, whose members are usually less familiar with state-space models and particle filtering; (b) to extend SQMC to the filtering of continuous-time state-space models, where the latent process is a diffusion. A recurring point in the paper will be the notion of dimension reduction, that is how to implement SQMC in such a way that it provides good performance despite the high dimension of the problem.
Cite
@article{arxiv.1706.05305,
title = {Sequential quasi-Monte Carlo: Introduction for Non-Experts, Dimension Reduction, Application to Partly Observed Diffusion Processes},
author = {Nicolas Chopin and Mathieu Gerber},
journal= {arXiv preprint arXiv:1706.05305},
year = {2017}
}
Comments
To be published in the proceedings of MCMQMC 2016