181 citations · 755 across the 107 of their papers we have counts for
11 papers · 1 filter
On the Behaviour of the Backward Interpretation of Feynman-Kac Formulae under Verifiable Conditions
Ajay Jasra
In the following article we consider the time-stability associated to the sequential Monte Carlo (SMC) estimate of the backward interpretation of Feynman-Kac Formulae. This is part…
Parameter Estimation in Hidden Markov Models with Intractable Likelihoods Using Sequential Monte Carlo
Sinan Yildirim, Sumeetpal Singh, Thomas Dean +1
We propose sequential Monte Carlo based algorithms for maximum likelihood estimation of the static parameters in hidden Markov models with an intractable likelihood using ideas fro…
Sequential Monte Carlo Methods for High-Dimensional Inverse Problems: A case study for the Navier-Stokes equations
Nikolas Kantas, Alexandros Beskos, Ajay Jasra
We consider the inverse problem of estimating the initial condition of a partial differential equation, which is only observed through noisy measurements at discrete time intervals…
Computational Methods for a Class of Network Models
Junshan Wang, Ajay Jasra, Maria De Iorio
In the following article we provide an exposition of exact computational methods to perform parameter inference from partially observed network models. In particular, we consider t…
On the Convergence of Adaptive Sequential Monte Carlo Methods
Alexandros Beskos, Ajay Jasra, Nikolas Kantas +1
In several implementations of Sequential Monte Carlo (SMC) methods it is natural, and important in terms of algorithmic efficiency, to exploit the information of the history of the…
Variational inference for sparse spectrum Gaussian process regression
Linda S. L. Tan, Victor M. H. Ong, David J. Nott +1
We develop a fast variational approximation scheme for Gaussian process (GP) regression, where the spectrum of the covariance function is subjected to a sparse approximation. Our a…