Skip to Main content Skip to Navigation
Reports

Particle methods: An introduction with applications

Pierre del Moral 1, 2 Arnaud Doucet 3
2 ALEA - Advanced Learning Evolutionary Algorithms
Inria Bordeaux - Sud-Ouest, UB - Université de Bordeaux, CNRS - Centre National de la Recherche Scientifique : UMR5251
Abstract : Interacting particle methods are increasingly used to sample from complex high-dimensional distributions. They have found a wide range of applications in applied probability, Bayesian statistics and information engineering. Understanding rigorously these new Monte Carlo simulation tools leads to fascinating mathematics related to Feynman-Kac path integral theory and their interacting particle interpretations. In these lecture notes, we provide a pedagogical introduction to the stochastic modeling and the theoretical analysis of these particle algorithms. We also illustrate these methods through several applications including random walk confinements, particle absorption models, nonlinear filtering, stochastic optimization, combinatorial counting and directed polymer models.
Document type :
Reports
Complete list of metadata

Cited literature [31 references]  Display  Hide  Download

https://hal.inria.fr/inria-00403917
Contributor : Pierre del Moral <>
Submitted on : Tuesday, July 14, 2009 - 8:50:53 AM
Last modification on : Thursday, February 11, 2021 - 2:36:01 PM
Long-term archiving on: : Monday, October 15, 2012 - 3:20:26 PM

File

RR-6991.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : inria-00403917, version 1

Collections

Citation

Pierre del Moral, Arnaud Doucet. Particle methods: An introduction with applications. [Research Report] RR-6991, INRIA. 2009, pp.46. ⟨inria-00403917⟩

Share

Metrics

Record views

1331

Files downloads

4661