Sequential Monte Carlo samplers

@article{Moral2002SequentialMC,
  title={Sequential Monte Carlo samplers},
  author={Pierre Del Moral and A. Doucet},
  journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  year={2002},
  volume={68}
}
  • P. MoralA. Doucet
  • Published 31 December 2002
  • Computer Science, Mathematics
  • Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Summary.  We propose 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. These probability distributions are approximated by a cloud of weighted random samples which are propagated over time by using sequential Monte Carlo methods. This methodology allows us to derive simple algorithms to make parallel Markov chain Monte Carlo algorithms interact to perform global… 
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