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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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WRAP-divide-conquer-monte-carlo-Johansen-2016.pdf - Accepted Version - Requires a PDF viewer. Download (851Kb) | Preview |
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Official URL: http://dx.doi.org/10.1080/10618600.2016.1237363
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: |
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| 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) | ||||||
| Related URLs: |
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