181 citations · 446 across the 49 of their papers we have counts for
5 papers · 1 filter
On Bridging Mixture Distributions
Pierre Del Moral, Ajay Jasra, Ke Zhao
The construction and the stability of bridges between mixture probability measures are investigated. Given a collection of Markov transitions bridging the components of two mixture…
On the Mathematical foundations of Diffusion Monte Carlo
Michel Caffarel, Pierre del Moral, Luc de Montella
The Diffusion Monte Carlo method with constant number of walkers, also called Stochastic Reconfiguration as well as Sequential Monte Carlo, is a widely used Monte Carlo methodology…
On the Mathematical Theory of Ensemble (Linear-Gaussian) Kalman-Bucy Filtering
Adrian N. Bishop, Pierre Del Moral
The purpose of this review is to present a comprehensive overview of the theory of ensemble Kalman-Bucy filtering for continuous-time, linear-Gaussian signal and observation models…
A Sharp First Order Analysis of Feynman-Kac Particle Models
Hock Peng Chan, Pierre Del Moral, Ajay Jasra
This article provides a new theory for the analysis of forward and backward particle approximations of Feynman-Kac models. Such formulae are found in a wide variety of applications…
On adaptive resampling strategies for sequential Monte Carlo methods
Pierre Del Moral, Arnaud Doucet, Ajay Jasra
Sequential Monte Carlo (SMC) methods are a class of techniques to sample approximately from any sequence of probability distributions using a combination of importance sampling and…