Sequential Monte Carlo samplers
A methodology to sample sequentially from a sequence of probability distributions that are defined on a common space, each distribution being known up to a normalizing constant is proposed.
Feynman-Kac Formulae: Genealogical and Interacting Particle Systems with Applications
- P. Moral
- Mathematics
- 30 March 2004
1 Introduction.- 1.1 On the Origins of Feynman-Kac and Particle Models.- 1.2 Notation and Conventions.- 1.3 Feynman-Kac Path Models.- 1.3.1 Path-Space and Marginal Models.- 1.3.2 Nonlinear…
An adaptive sequential Monte Carlo method for approximate Bayesian computation
An adaptive SMC algorithm is proposed which admits a computational complexity that is linear in the number of samples and adaptively determines the simulation parameters.
On the stability of interacting processes with applications to filtering and genetic algorithms
- P. Moral, A. Guionnet
- Mathematics
- 1 March 2001
Branching and interacting particle systems. Approximations of Feynman-Kac formulae with applications to non-linear filtering
This paper focuses on interacting particle systems methods for solving numerically a class of Feynman-Kac formulae arising in the study of certain parabolic differential equations, physics, biology,…
Nonlinear filtering : Interacting particle resolution
- P. Moral
- Mathematics
- 1 September 1997
Mean Field Simulation for Monte Carlo Integration
- P. Moral
- Physics
- 20 May 2013
In the last three decades, there has been a dramatic increase in the use of interacting particle methods as a powerful tool in real-world applications of Monte Carlo simulation in computational…
Sequential Monte Carlo for rare event estimation
- F. Cérou, P. Moral, T. Furon, A. Guyader
- Computer ScienceStatistics and computing
- 1 May 2012
A novel strategy for simulating rare events and an associated Monte Carlo estimation of tail probabilities using a system of interacting particles and exploits a Feynman-Kac representation of that system to analyze their fluctuations.
Genealogical particle analysis of rare events
- P. Moral, J. Garnier
- Mathematics
- 1 November 2005
In this paper an original interacting particle system approach is developed for studying Markov chains in rare event regimes. The proposed particle system is theoretically studied through a…
A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- F. Cérou, P. Moral, A. Guyader
- Mathematics
- 1 August 2011
We present a nonasymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis-based on Feynman-Kac semigroup techniques…
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