32 citations · 182 across the 41 of their papers we have counts for
5 papers · 1 filter
Rare event simulation for stochastic dynamics in continuous time
Letizia Angeli, Stefan Grosskinsky, Adam M. Johansen +1
Large deviations for additive path functionals of stochastic dynamics and related numerical approaches have attracted significant recent research interest. We focus on the question…
Limit theorems for sequential MCMC methods
Axel Finke, Arnaud Doucet, Adam M. Johansen
Sequential Monte Carlo (SMC) methods, also known as particle filters, constitute a class of algorithms used to approximate expectations with respect to a sequence of probability di…
Global consensus Monte Carlo
Lewis J. Rendell, Adam M. Johansen, Anthony Lee +1
To conduct Bayesian inference with large data sets, it is often convenient or necessary to distribute the data across multiple machines. We consider a likelihood function expressed…
Unbiased and Consistent Nested Sampling via Sequential Monte Carlo
Robert Salomone, Leah F. South, Christopher Drovandi +2
We introduce a new class of sequential Monte Carlo methods which reformulates the essence of the nested sampling method of Skilling (2006) in terms of sequential Monte Carlo techni…
Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
Jere Koskela, Paul A. Jenkins, Adam M. Johansen +1
We study weighted particle systems in which new generations are resampled from current particles with probabilities proportional to their weights. This covers a broad class of sequ…