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| 다단계 몬테카를로 시뮬레이션× | 순차 몬테카를로 (Sequential Monte Carlo, SMC)× | |
|---|---|---|
| 분야 | 베이지안 | 베이지안 |
| 계열 | Bayesian methods | Bayesian methods |
| 기원 연도≠ | 2008 | 1993 (particle filter); 2006 (SMC samplers) |
| 창시자≠ | Michael B. Giles | Gordon, Salmond & Smith (particle filter); Del Moral, Doucet & Jasra (SMC samplers) |
| 유형≠ | variance-reduction simulation | Sequential Bayesian computation |
| 원전≠ | Giles, M. B. (2008). Multilevel Monte Carlo path simulation. Operations Research, 56(3), 607–617. DOI ↗ | 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 ↗ |
| 별칭 | MLMC, multilevel MC, multi-level Monte Carlo, MLMC simulation | SMC, particle filter, sequential importance resampling, SMC sampler |
| 관련≠ | 4 | 6 |
| 요약≠ | Multilevel Monte Carlo (MLMC) is a variance-reduction technique that estimates expectations by combining simulations run at multiple levels of numerical resolution. Coarse, cheap simulations capture most of the signal; fine, expensive simulations correct only the remaining small difference — dramatically reducing total computational cost compared with standard Monte Carlo at the finest level alone. | 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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