Particle methods: An introduction with applications

Particle methods: An introduction with applications

Interacting particle methods are increasingly used to sample from complex high-dimensional distributions. They have found a wide range of applications in applied probability, Bayesian statistics and information engineering. Understanding rigorously these new Mo...

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Main Authors: Moral Piere Del, Doucet Arnaud
Format: Article
Language:English
Published: EDP Sciences 2014-01-01
Series:ESAIM: Proceedings and Surveys
Online Access:http://dx.doi.org/10.1051/proc/201444001
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spelling doaj-61f383e5c8264dfbb84a96c1cc34dcad2021-08-02T20:35:30ZengEDP SciencesESAIM: Proceedings and Surveys1270-900X2014-01-014414610.1051/proc/201444001proc144401Particle methods: An introduction with applicationsMoral Piere Del0Doucet Arnaud1Centre INRIA Bordeaux et Sud-Ouest & Institut de Mathématiques de Bordeaux , Université de Bordeaux IDepartment of Statistics, Oxford University Interacting particle methods are increasingly used to sample from complex high-dimensional distributions. They have found a wide range of applications in applied probability, Bayesian statistics and information engineering. Understanding rigorously these new Monte Carlo simulation tools leads to fascinating mathematics related to Feynman-Kac path integral theory and their interacting particle interpretations. In these lecture notes, we provide a pedagogical introduction to the stochastic modeling and the theoretical analysis of these particle algorithms. We also illustrate these methods through several applications including random walk confinements, particle absorption models, nonlinear filtering, stochastic optimization, combinatorial counting and directed polymer models. http://dx.doi.org/10.1051/proc/201444001
collection DOAJ
language English
format Article
sources DOAJ
author Moral Piere Del
Doucet Arnaud
spellingShingle Moral Piere Del
Doucet Arnaud
Particle methods: An introduction with applications
ESAIM: Proceedings and Surveys
author_facet Moral Piere Del
Doucet Arnaud
author_sort Moral Piere Del
title Particle methods: An introduction with applications
title_short Particle methods: An introduction with applications
title_full Particle methods: An introduction with applications
title_fullStr Particle methods: An introduction with applications
title_full_unstemmed Particle methods: An introduction with applications
title_sort particle methods: an introduction with applications
publisher EDP Sciences
series ESAIM: Proceedings and Surveys
issn 1270-900X
publishDate 2014-01-01
description Interacting particle methods are increasingly used to sample from complex high-dimensional distributions. They have found a wide range of applications in applied probability, Bayesian statistics and information engineering. Understanding rigorously these new Monte Carlo simulation tools leads to fascinating mathematics related to Feynman-Kac path integral theory and their interacting particle interpretations. In these lecture notes, we provide a pedagogical introduction to the stochastic modeling and the theoretical analysis of these particle algorithms. We also illustrate these methods through several applications including random walk confinements, particle absorption models, nonlinear filtering, stochastic optimization, combinatorial counting and directed polymer models.
url http://dx.doi.org/10.1051/proc/201444001
work_keys_str_mv AT moralpieredel particlemethodsanintroductionwithapplications
AT doucetarnaud particlemethodsanintroductionwithapplications
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