442 citations · 3.3k across the 135 of their papers we have counts for
6 papers · 1 filter
Stability of Optimal Filter Higher-Order Derivatives
Vladislav Z. B. Tadic, Arnaud Doucet
In many scenarios, a state-space model depends on a parameter which needs to be inferred from data. Using stochastic gradient search and the optimal filter (first-order) derivative…
A Lognormal Central Limit Theorem for Particle Approximations of Normalizing Constants
Jean Bérard, Pierre Del-Moral, Arnaud Doucet
This paper deals with the numerical approximation of normalizing constants produced by particle methods, in the general framework of Feynman-Kac sequences of measures. It is well-k…
Perfect simulation for the Feynman-Kac law on the path space
Christophe Andrieu, Nicolas Chopin, Arnaud Doucet +1
This paper describes an algorithm of interest. This is a preliminary version and we intend on writing a better descripition of it and getting bounds for its complexity.
Fluctuations of Interacting Markov Chain Monte Carlo Methods
Bernard Bercu, Pierre Del Moral, Arnaud Doucet
We present a multivariate central limit theorem for a general class of interacting Markov chain Monte Carlo algorithms used to solve nonlinear measure-valued equations. These algor…
Particle approximation of the intensity measures of a spatial branching point process arising in multi-target tracking
Francois Caron, Pierre Del Moral, Arnaud Doucet +1
The aim of this paper is two-fold. First we analyze the sequence of intensity measures of a spatial branching point process arising in a multiple target tracking context. We study…
Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
Pierre Del Moral, Arnaud Doucet
We present a new class of interacting Markov chain Monte Carlo algorithms for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong…