Sequential Monte Carlo Samplers

@inproceedings{Moral2002SequentialMC,
  title={Sequential Monte Carlo Samplers},
  author={Pierre Del Moral and Arnaud Doucet},
  year={2002}
}
In this paper, we propose a methodology to sample sequentially from a sequence of probability distributions known up to a normalizing constant and defined on a common space. These probability distributions are approximated by a cloud of weighted random samples which are propagated over time using Sequential Monte Carlo methods. This methodology allows us to derive simple algorithms to make parallel Markov chain Monte Carlo algorithms interact in a principled way, to perform global optimization… CONTINUE READING

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