DEL MORAL, Pierre; DOUCET, Arnaud

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DEL MORAL, Pierre
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]

DOUCET, Arnaud
Dept of Statistics & Dept of Computer Science

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2009p. 46

Résumé en anglais

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.< Réduire

Project ANR

Sécurité et fiabilité des techniques de tatouages - ANR-06-SETI-0009

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Institut de Mathématiques de Bordeaux (IMB) - UMR 5251