An introduction to Sequential Monte Carlo / Nicolas Chopin, Omiros Papaspiliopoulos.

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An introduction to Sequential Monte Carlo / Nicolas Chopin, Omiros Papaspiliopoulos.

9783030478452 (electronic book)
3030478459 (electronic book)
3030478440
9783030478445

Cham, Switzerland : Springer, [2020]

English

1 online resource.

10.1007/978-3-030-47845-2 doi

QA298 .C46 2020

518.282

This book provides a general introduction to Sequential Monte Carlo (SMC) methods, also known as particle filters. These methods have become a staple for the sequential analysis of data in such diverse fields as signal processing, epidemiology, machine learning, population ecology, quantitative finance, and robotics. The coverage is comprehensive, ranging from the underlying theory to computational implementation, methodology, and diverse applications in various areas of science. This is achieved by describing SMC algorithms as particular cases of a general framework, which involves concepts such as Feynman-Kac distributions, and tools such as importance sampling and resampling. This general framework is used consistently throughout the book. Extensive coverage is provided on sequential learning (filtering, smoothing) of state-space (hidden Markov) models, as this remains an important application of SMC methods. More recent applications, such as parameter estimation of these models (through e.g. particle Markov chain Monte Carlo techniques) and the simulation of challenging probability distributions (in e.g. Bayesian inference or rare-event problems), are also discussed. The book may be used either as a graduate text on Sequential Monte Carlo methods and state-space modeling, or as a general reference work on the area. Each chapter includes a set of exercises for self-study, a comprehensive bibliography, and a "Python corner," which discusses the practical implementation of the methods covered. In addition, the book comes with an open source Python library, which implements all the algorithms described in the book, and contains all the programs that were used to perform the numerical experiments.

Includes bibliographical references and index.

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Description based on online resource; title from digital title page (viewed on November 25, 2020).

Springer series in statistics, 0172-7397

Print version: 9783030478445

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