Markov chain Monte Carlo methods explicitly defined on the manifold of probability distributions have recently been established. These methods are constructed from diffusions across the manifold and the solution of the equations describing geodesic flows in the Hamilton-Jacobi representation. This paper takes the differential geometric basis of Markov chain Monte Carlo further by considering me...

This monograph presents some new concentration inequalities for Feynman-Kac particle processes. We analyze different types of stochastic particle models, including particle profile occupation measures, genealogical tree based evolution models, particle free energies, as well as backward Markov chain particle models. We illustrate these results with a series of topics related to computational ph...