125 citations · 125 across the 5 of their papers we have counts for
5 papers · 1 filter
On the complexity of standard and waste-free SMC samplers
Yvann Le Fay, Nicolas Chopin, Matti Vihola
We establish finite sample bounds for the error of standard and waste-free SMC samplers. Our results cover estimates of both expectations and normalising constants of the target di…
Convergence of a class of gradient-free optimisation schemes when the objective function is noisy, irregular, or both
Christophe Andrieu, Nicolas Chopin, Ettore Fincato +1
We investigate the convergence properties of a class of iterative algorithms designed to minimize a potentially non-smooth and noisy objective function, which may be algebraically…
Adaptive stratified Monte Carlo using decision trees
Nicolas Chopin, Hejin Wang, Mathieu Gerber
It has been known for a long time that stratification is one possible strategy to obtain higher convergence rates for the Monte Carlo estimation of integrals over the hyper-cube $[…
Gradient-free optimization via integration
Christophe Andrieu, Nicolas Chopin, Ettore Fincato +1
We develop and analyse an approach to optimize functions not assumed to be convex, differentiable or even continuous. The algorithm be…
Three discussions of the paper "sequential quasi-Monte Carlo sampling", by M. Gerber and N. Chopin
Julyan Arbel, Igor Prunster, Christian P. Robert +1
This is a collection of three written discussions of the paper "sequential quasi-Monte Carlo sampling" by M. Gerber and N. Chopin, following the presentation given before the Royal…