Sequential monte carlo samplers

Pierre Del Moral; Arnaud Doucet

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Sequential monte carlo samplers

Pierre Del Moral·Arnaud Doucet

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Abstract

This paper shows how one can use Sequential Monte Carlo methods to perform what is typically done using Markov chain Monte Carlo methods. This leads to a general class of principled integration and genetic type optimization methods based on interacting particle systems.

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Pierre Del Moral, Arnaud Doucet. 2002-12-31. Sequential monte carlo samplers. https://arxiv.org/abs/cond-mat/0212648

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