Archive for An Introduction to Sequential Monte Carlo

the surprisingly overlooked efficiency of SMC

Posted in Books, Statistics, University life with tags , , , , , , , , , , , on December 15, 2020 by xi'an

At the Laplace demon’s seminar today (whose cool name I cannot tire of!), Nicolas Chopin gave a webinar with the above equally cool title. And the first slide debunking myths about SMC’s:

The second part of the talk is about a recent arXival Nicolas wrote with his student Hai-Dang DauI missed, about increasing the number of MCMC steps when moving the particles. Called waste-free SMC. Where only one fraction of the particles is updated, but this is enough to create a sort of independence from previous iterations of the SMC. (Hai-Dang Dau and Nicolas Chopin had to taylor their own convergence proof for this modification of the usual SMC. Producing a single-run assessment of the asymptotic variance.)

On the side, I heard about a very neat (if possibly toyish) example on estimating the number of Latin squares:

And the other item of information is that Nicolas’ and Omiros’ book, An Introduction to Sequential Monte Carlo, has now appeared! (Looking forward reading the parts I had not yet read.)