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03/06/2023
Properties of Marginal Sequential Monte Carlo Methods
We provide a framework which admits a number of “marginal” sequential Mo...
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01/06/2023
Optimal Scaling Results for a Wide Class of Proximal MALA Algorithms
We consider a recently proposed class of MCMC methods which uses proximi...
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11/25/2022
A divide and conquer sequential Monte Carlo approach to high dimensional filtering
We propose a divide-and-conquer approach to filtering which decomposes t...
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09/16/2022
Solving Fredholm Integral Equations of the First Kind via Wasserstein Gradient Flows
Solving Fredholm equations of the first kind is crucial in many areas of...
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10/29/2021
The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems
We revisit the divide-and-conquer sequential Monte Carlo (DaC-SMC) algor...
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02/23/2021
Product-form estimators: exploiting independence to scale up Monte Carlo
We introduce a class of Monte Carlo estimators for product-form target d...
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09/21/2020