181 citations · 446 across the 49 of their papers we have counts for
8 papers · 1 filter
Biips: Software for Bayesian Inference with Interacting Particle Systems
Adrien Todeschini, François Caron, Marc Fuentes +2
Biips is a software platform for automatic Bayesian inference with interacting particle systems. Biips allows users to define their statistical model in the probabilistic programmi…
Exponential mixing properties for time inhomogeneous diffusion processes with killing
Pierre Del Moral, Denis Villemonais
We consider an elliptic and time-inhomogeneous diffusion process with time-periodic coefficients evolving in a bounded domain of with a smooth boundary. The process…
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…
Convergence properties of weighted particle islands with application to the double bootstrap algorithm
Pierre Del Moral, Eric Moulines, Jimmy Olsson +1
Particle island models (Vergé et al., 2013) provide a means of parallelization of sequential Monte Carlo methods, and in this paper we present novel convergence results for algorit…
Particle MCMC for Bayesian Microwave Control
P. Minvielle, A. Todeschini, F. Caron +1
We consider the problem of local radioelectric property estimation from global electromagnetic scattering measurements. This challenging ill-posed high dimensional inverse problem…
Valuation of Barrier Options using Sequential Monte Carlo
Pavel V. Shevchenko, Pierre Del Moral
Sequential Monte Carlo (SMC) methods have successfully been used in many applications in engineering, statistics and physics. However, these are seldom used in financial option pri…
Sequential Monte Carlo with Highly Informative Observations
Pierre Del Moral, Lawrence M. Murray
We propose sequential Monte Carlo (SMC) methods for sampling the posterior distribution of state-space models under highly informative observation regimes, a situation in which sta…
On particle Gibbs Markov chain Monte Carlo models
P. Del Moral, R. Kohn, F. Patras
This article analyses a new class of advanced particle Markov chain Monte Carlo algorithms recently introduced by Andrieu, Doucet, and Holenstein (2010). We present a natural inter…