Mean Field Simulation for Monte Carlo Integration

153, Chapman & Hall/CRC Monographs
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Monte Carlo and Mean Field Models Linear evolution equations Nonlinear McKean evolutions Time discretization schemes Illustrative examples Mean field particle methods Theory and Applications A stochastic perturbation analysis Feynman-Kac particle models Extended Feynman-Kac models Nonlinear intensity measure equations Statistical machine learning models Risk analysis and rare event simulation Feynman-Kac Models Discrete Time Feynman-Kac Models A brief treatise on evolution operators Feynman-Kac models Some illustrations Historical processes Feynman-Kac sensitivity measures Four Equivalent Particle Interpretations Spatial branching models Sequential Monte Carlo methodology Interacting Markov chain Monte Carlo algorithms Mean field interacting particle models Continuous Time Feynman-Kac Models Some operator aspects of Markov processes Feynman-Kac models Continuous time McKean models Mean field particle models Nonlinear Evolutions of Intensity Measures Intensity of spatial branching processes Nonlinear equations of positive measures Multiple-object nonlinear filtering equations Association tree-based measures Application Domains Particle Absorption Models Particle motions in absorbing medium Mean field particle models Some illustrations Absorption models in random environments Particle Feynman-Kac models Doob h-processes Signal Processing and Control Systems Nonlinear filtering problems Linear Gaussian models Interacting Kalman filters Quenched and annealed filtering models Particle quenched and annealed models Parameter estimation in hidden Markov models Optimal stopping problems Theoretical Aspects Mean Field Feynman-Kac Models Feynman-Kac models McKean-Markov chain models Perfect sampling models Interacting particle systems Some convergence estimates Continuous time models A General Class of Mean Field Models Description of the models Some weak regularity properties Some illustrative examples A stochastic coupling technique Fluctuation analysis Empirical Processes Description of the models Nonasymptotic theorems A reminder on Orlicz's norms Finite marginal inequalities Maximal inequalities Cramer-Chernov inequalities Perturbation analysis Interacting processes Feynman-Kac Semigroups Description of the models Stability properties Semigroups of nonlinear Markov chain models Backward Markovian semigroups Intensity Measure Semigroups Spatial branching models Measure-valued nonlinear equations Weak Lipschitz properties of semigroups Stability properties of PHD models Particle Density Profiles Stochastic perturbation analysis First order expansions Some nonasymptotic theorems Fluctuation analysis Concentration inequalities A general class of mean field particle models Particle branching intensity measures Positive measure particle equations Genealogical Tree Models Some equivalence principles Some nonasymptotic theorems Ancestral tree occupation measures Central limit theorems Concentration inequalities Particle Normalizing Constants Unnormalized particle measures Some key decompositions Fluctuation theorems A nonasymptotic variance theorem Lp-mean error estimates Concentration analysis Backward Particle Markov Models Description of the models Conditioning principles Integral transport properties Additive functional models A stochastic perturbation analysis Orlicz norm and Lm-mean error estimates Some nonasymptotic variance estimates Fluctuation analysis Concentration inequalities Bibliography Index
This book deals with both the theoretical foundations and applications of sequential Monte Carlo methods and genetic type particle techniques. These stochastic interacting particle algorithms belong to the class of advanced Monte Carlo methods. The book shows how these powerful computational methods are currently used in computational physics, physical chemistry, and computational biology for simulating complex systems in high dimensions.
Autor: Pierre Del Moral
Pierre Del Moral is a professor in the School of Mathematics and Statistics at the University of New South Wales in Sydney, Australia.

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Autor: Pierre Del Moral
ISBN-13 :: 9781466504059
ISBN: 1466504056
Erscheinungsjahr: 20.05.2013
Verlag: CRC PR INC
Gewicht: 1116g
Seiten: 626
Sprache: Englisch
Auflage New
Sonstiges: Buch, 244x188x33 mm
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