Bayesian methodsBayesian / computational
Sequential Monte Carlo
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.
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Sources
- 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: 10.1049/ip-f-2.1993.0015 ↗
- Del Moral, P., Doucet, A., & Jasra, A. (2006). Sequential Monte Carlo samplers. Journal of the Royal Statistical Society: Series B, 68(3), 411–436. DOI: 10.1111/j.1467-9868.2006.00553.x ↗
Related methods
Referenced by
Approximate Bayesian ComputationApproximate Bayesian Computation with Measurement ErrorApproximate Bayesian Computation with Missing DataDynamic Bayesian Hierarchical ModelDynamic Bayesian InferenceDynamic Bayesian Model AveragingDynamic Bayesian NetworkDynamic Hamiltonian Monte CarloDynamic Monte Carlo SimulationDynamic Particle FilterDynamic Sequential Monte CarloDynamic Variational InferenceHierarchical Approximate Bayesian ComputationHierarchical Bootstrap SimulationHierarchical Kalman FilterHierarchical Particle FilterKalman FilterKalman Filter with Measurement ErrorKalman Filter with Missing DataMetropolis-Hastings AlgorithmMetropolis-Hastings for model comparisonMonte Carlo Simulation with Missing DataMultilevel Approximate Bayesian ComputationMultilevel Bootstrap SimulationMultilevel Monte Carlo SimulationParticle Filter with Measurement ErrorParticle Filter with Missing DataRobust Approximate Bayesian ComputationRobust Kalman FilterRobust Markov chain Monte CarloRobust Monte Carlo SimulationRobust Particle FilterRobust Sequential Monte CarloSequential Monte Carlo with Measurement ErrorSequential Monte Carlo with Missing DataSpatial Approximate Bayesian ComputationSpatial Bootstrap SimulationSpatial Kalman FilterSpatial Monte Carlo SimulationTime series approximate Bayesian computationTime series Bayesian inferenceTime series Bayesian model averagingTime Series Kalman FilterTime series MCMCTime series particle filterTime series sequential Monte CarloTime series variational inference