相关论文: Central limit theorem for sequential Monte Carlo m…

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…

We investigate the properties of a sequential Monte Carlo method where the particle weight that appears in the algorithm is estimated by a positive, unbiased estimator. We present broadly-applicable convergence results, including a central…

We provide a framework which admits a number of ``marginal'' sequential Monte Carlo (SMC) algorithms as particular cases -- including the marginal particle filter [Klaas et al., 2005, in: Proceedings of Uncertainty in Artificial…

Sequential Monte Carlo algorithms, or Particle Filters, are Bayesian filtering algorithms which propagate in time a discrete and random approximation of the a posteriori distribution of interest. Such algorithms are based on Importance…

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 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…

In the last decade, sequential Monte-Carlo methods (SMC) emerged as a key tool in computational statistics. These algorithms approximate a sequence of distributions by a sequence of weighted empirical measures associated to a weighted…

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…

A key limitation of sampling algorithms for approximate inference is that it is difficult to quantify their approximation error. Widely used sampling schemes, such as sequential importance sampling with resampling and Metropolis-Hastings,…

This paper proposes a Sequential Monte Carlo approach for the Bayesian estimation of mixed causal and noncausal models. Unlike previous Bayesian estimation methods developed for these models, Sequential Monte Carlo offers extensive…

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,…

This paper concerns numerical assessment of Monte Carlo error in particle filters. We show that by keeping track of certain key features of the genealogical structure arising from resampling operations, it is possible to estimate variances…

A core problem in statistics and probabilistic machine learning is to compute probability distributions and expectations. This is the fundamental problem of Bayesian statistics and machine learning, which frames all inference as…

Sequential Monte Carlo methods, also known as particle methods, are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. In many applications it may be necessary to compute the sensitivity,…

Statisticians often use Monte Carlo methods to approximate probability distributions, primarily with Markov chain Monte Carlo and importance sampling. Sequential Monte Carlo samplers are a class of algorithms that combine both techniques to…

Closed-form stochastic filtering equations can be derived in a general setting where probability distributions are replaced by some specific outer measures. In this article, we study how the principles of the sequential Monte Carlo method…

Monte Carlo experiments produce samples in order to estimate features of a given distribution. However, simultaneous estimation of means and quantiles has received little attention, despite being common practice. In this setting we…

Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…

Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…

In this paper, we introduce the $\sigma$-antithetic multilevel Monte Carlo (MLMC) estimator for a multi-dimensional diffusion which is an extended version of the original antithetic MLMC one introduced by Giles and Szpruch \cite{a}. Our aim…