Adaptive sequential Monte Carlo by means of mixture of experts
نویسندگان
چکیده
منابع مشابه
Adaptive sequential Monte Carlo by means of mixture of experts
Selecting appropriately the proposal kernel of particle filters is an issue of significant importance, since a bad choice may lead to deterioration of the particle sample and, consequently, waste of computational power. In this paper we introduce a novel algorithm approximating adaptively the so-called optimal proposal kernel by a mixture of integrated curved exponential distributions with logi...
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This section reviews the basic SMC algorithm, beginning by recapitulating the setup described in the main text. Consider a probabilistic model comprising (possibly multi-dimensional) hidden and observed states z1:T and x1:T respectively, whose joint distribution factorizes as p(z1:T ,x1:T ) = p(z1)p(x1|z1) ∏T t=2 p(zt|z1:t−1)p(xt|z1:t,x1:t−1). This general form subsumes common statespace models...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2013
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-012-9372-2