Particle methods: An introduction with applications
DEL MORAL, Pierre
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
DEL MORAL, Pierre
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
< Leer menos
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Idioma
en
Rapport
Este ítem está publicado en
2009p. 46
Resumen en inglés
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. ...Leer más >
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.< Leer menos
Proyecto ANR
Sécurité et fiabilité des techniques de tatouages - ANR-06-SETI-0009
Orígen
Importado de HalCentros de investigación