Multilevel Monte Carlo for Smoothing via Transport Methods
From MaRDI portal
Publication:4580285
DOI10.1137/17M1156071zbMath1395.62256arXiv1711.02836OpenAlexW2963868359WikidataQ129412110 ScholiaQ129412110MaRDI QIDQ4580285
Jeremie Houssineau, Sumeetpal S. Singh, Ajay Jasra
Publication date: 14 August 2018
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.02836
Related Items (4)
Coupling Techniques for Nonlinear Ensemble Filtering ⋮ Advanced Multilevel Monte Carlo Methods ⋮ A Wasserstein coupled particle filter for multilevel estimation ⋮ Multilevel particle filters for Lévy-driven stochastic differential equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On particle methods for parameter estimation in state-space models
- Multi-index Monte Carlo: when sparsity meets sampling
- Bayesian inference with optimal maps
- Fundamentals of stochastic filtering
- Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
- On coupling particle filter trajectories
- Multilevel particle filters: normalizing constant estimation
- Inference in hidden Markov models.
- Closed-form likelihood expansions for multivariate diffusions
- Exact simulation of diffusions
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
- Multilevel Ensemble Transform Particle Filtering
- Multilevel Monte Carlo Methods
- A Multiscale Strategy for Bayesian Inference Using Transport Maps
- Multilevel Monte Carlo Path Simulation
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Particle Filters for Partially Observed Diffusions
- Multilevel Particle Filters
- Unbiased multi-index Monte Carlo
- Optimal Transport
This page was built for publication: Multilevel Monte Carlo for Smoothing via Transport Methods
