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math.ST2016
On the two-filter approximations of marginal smoothing distributions in general state space models
Thi Ngoc Minh Nguyen, Sylvain Le Corff, Eric Moulines
A prevalent problem in general state space models is the approximation of the smoothing distribution of a state conditional on the observations from the past, the present, and the…
math.ST2016★ 10 cited
High-dimensional Bayesian inference via the Unadjusted Langevin Algorithm
Alain Durmus, Eric Moulines
We consider in this paper the problem of sampling a high-dimensional probability distribution having a density with respect to the Lebesgue measure on , known up…