On the stability of sequential Monte Carlo methods in high dimensions

@article{Beskos2011OnTS,
  title={On the stability of sequential Monte Carlo methods in high dimensions},
  author={Alexandros Beskos and Dan Crisan and Ajay Jasra},
  journal={Annals of Applied Probability},
  year={2011},
  volume={24},
  pages={1396-1445}
}
We investigate the stability of a Sequential Monte Carlo (SMC) method applied to the problem of sampling from a target distribution on Rd for large d. It is well known [Bengtsson, Bickel and Li, In Probability and Statistics: Essays in Honor of David A. Freedman, D. Nolan and T. Speed, eds. (2008) 316–334 IMS; see also Pushing the Limits of Contemporary Statistics (2008) 318–32 9 IMS, Mon. Weather Rev. (2009) 136 (2009) 4629–4640] that using a single importance sampling step, one produces an… Expand
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