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09/15/2023
On the Forgetting of Particle Filters
We study the forgetting properties of the particle filter when its state...
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11/16/2022
Explicit convergence bounds for Metropolis Markov chains: isoperimetry, spectral gaps and profiles
We derive the first explicit bounds for the spectral gap of a random wal...
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10/27/2022
Generalizing the German Tank Problem
The German Tank Problem dates back to World War II when the Allies used ...
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08/10/2022
Poincaré inequalities for Markov chains: a meeting with Cheeger, Lyapunov and Metropolis
We develop a theory of weak Poincaré inequalities to characterize conver...
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08/08/2022
Monte Carlo twisting for particle filters
We consider the problem of designing efficient particle filters for twis...
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06/28/2022
Volume-Independent Music Matching by Frequency Spectrum Comparison
Often, I hear a piece of music and wonder what the name of the piece is....
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06/12/2022
Solving the Poisson equation using coupled Markov chains
This article draws connections between unbiased estimators constructed f...
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12/10/2021
Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC
We investigate the use of a certain class of functional inequalities kno...
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12/29/2020
A general perspective on the Metropolis-Hastings kernel
Since its inception the Metropolis-Hastings kernel has been applied in s...
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09/08/2020
Accelerating sequential Monte Carlo with surrogate likelihoods
Delayed-acceptance is a technique for reducing computational effort for ...
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07/24/2018
Global consensus Monte Carlo
For Bayesian inference with large data sets, it is often convenient or n...
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06/15/2018
Coupled conditional backward sampling particle filter
We consider the coupled conditional backward sampling particle filter (C...
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09/04/2017