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Divide-and-conquer with sequential Monte Carlo

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Lindsten, F., Johansen, Adam M., Naesseth, B., Kirkpatrick, T., Schön, J., Aston, John A. D. and Bouchard-Côté, A. (2016) Divide-and-conquer with sequential Monte Carlo. Journal of Computational and Graphical Statistics, 26 (2). pp. 445-458. doi:10.1080/10618600.2016.1237363

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Official URL: http://dx.doi.org/10.1080/10618600.2016.1237363

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Abstract

This document contains supplementary material for the paper ’Divide-and-Conquer with Sequential Monte Carlo’. In Section A we prove Propositions 1 and 2 and provide additional details on how these propositions can be extended to the more advanced D&C-SMC implementations discussed in Section 4 of the main paper. Section B provides detailed algorithmic descriptions of the (lightweight) mixture sampling method (Section 4.1 of the main paper) and tempering method (Section 4.2 of the main paper) in the context of the proposed D&C-SMC sampler. Sections C and D contain additional details and results for the two numerical examples presented in Sections 5.1 and 5.2 of the main paper, respectively. Finally, Section E provides an overview of the implementation used in Sections 5.2 and 5.3 of the main paper.

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH): Bayesian statistical decision theory, Monte Carlo method, Pattern recognition systems
Journal or Publication Title: Journal of Computational and Graphical Statistics
Publisher: American Statistical Association
ISSN: 1061-8600
Official Date: 22 September 2016
Dates:
DateEvent
22 September 2016Published
14 August 2016Accepted
Volume: 26
Number: 2
Page Range: pp. 445-458
DOI: 10.1080/10618600.2016.1237363
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access
Funder: Statens råd för byggnadsforskning (Sweden) [Swedish Research Council], Engineering and Physical Sciences Research Council (EPSRC), Natural Sciences and Engineering Research Council of Canada (NSERC)
Grant number: 637-2014-466 (Swedish Research Council), 621-2013-552 (Swedish Research Council), EP/K021672/2 (EPSRC)
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