207 citations · 565 across the 24 of their papers we have counts for
4 papers · 1 filter
Uniform Ergodicity of the Iterated Conditional SMC and Geometric Ergodicity of Particle Gibbs samplers
Christophe Andrieu, Anthony Lee, Matti Vihola
We establish quantitative bounds for rates of convergence and asymptotic variances for iterated conditional sequential Monte Carlo (i-cSMC) Markov chains and associated particle Gi…
On the role of interaction in sequential Monte Carlo algorithms
Nick Whiteley, Anthony Lee, Kari Heine
We introduce a general form of sequential Monte Carlo algorithm defined in terms of a parameterized resampling mechanism. We find that a suitably generalized notion of the Effectiv…
The Alive Particle Filter
Ajay Jasra, Anthony Lee, Christopher Yau +1
In the following article we develop a particle filter for approximating Feynman-Kac models with indicator potentials. Examples of such models include approximate Bayesian computati…
Parallel resampling in the particle filter
Lawrence M. Murray, Anthony Lee, Pierre E. Jacob
Modern parallel computing devices, such as the graphics processing unit (GPU), have gained significant traction in scientific and statistical computing. They are particularly well-…