Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
نویسندگان
چکیده
منابع مشابه
Interacting Markov Chain Monte Carlo Methods For Solving Nonlinear Measure-Valued Equations
We present a new interacting Markov chain Monte Carlo methodology for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of self-interacting Markov chains. In contrast to traditional Markov chains, their time evolution may depend on the occupation measure of the past values. This general methodology allows us to provide a natural ...
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We present a new class of interacting Markov chain Monte Carlo algorithms for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of self-interacting Markov chains. In contrast to traditional Markov chains, their time evolutions depend on the occupation measure of their past values. This general methodology allows us to provide a n...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2010
ISSN: 1050-5164
DOI: 10.1214/09-aap628