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| Последователен Монте Карло× | Гиббсов семплер× | |
|---|---|---|
| Област | Бейсови методи | Бейсови методи |
| Семейство | Bayesian methods | Bayesian methods |
| Година на възникване≠ | 1993 (particle filter); 2006 (SMC samplers) | 1984 |
| Създател≠ | Gordon, Salmond & Smith (particle filter); Del Moral, Doucet & Jasra (SMC samplers) | Stuart Geman & Donald Geman |
| Тип≠ | Sequential Bayesian computation | MCMC sampling algorithm |
| Основополагащ източник≠ | Gordon, N. J., Salmond, D. J., & Smith, A. F. M. (1993). Novel approach to nonlinear/non-Gaussian Bayesian state estimation. IEE Proceedings F - Radar and Signal Processing, 140(2), 107–113. DOI ↗ | Geman, S. & Geman, D. (1984). Stochastic relaxation, Gibbs distributions, and the Bayesian restoration of images. IEEE Transactions on Pattern Analysis and Machine Intelligence, 6(6), 721-741. DOI ↗ |
| Други названия | SMC, particle filter, sequential importance resampling, SMC sampler | Gibbs sampler, coordinate-wise MCMC, systematic scan Gibbs, blocked Gibbs sampling |
| Свързани≠ | 6 | 5 |
| Резюме≠ | Sequential Monte Carlo (SMC) is a family of simulation-based algorithms that approximate evolving probability distributions by propagating and reweighting a cloud of weighted random draws called particles. It handles nonlinear, non-Gaussian models and streams of data naturally, making it the method of choice for real-time state estimation and posterior approximation over complex distributions. | Gibbs sampling is a Markov chain Monte Carlo algorithm that approximates a high-dimensional posterior distribution by repeatedly drawing each parameter from its full conditional distribution given all other parameters and the data. Because each draw is exact from a conditional — not a proposal that may be rejected — the sampler is efficient when those conditionals are available in closed form. |
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