Sumeetpal S. Singh

Particle Gibbs with refreshed backward simulation

2015

The particle Gibbs algorithm can be used for Bayesian parameter estimation in Markovian state space models. Sometimes the resulting Markov chains mix slowly when the component particle filter suffers from degeneracy. This effect can be …

Quasi-Newton Sequential Monte Carlo

2022 · arXiv (Cornell University)

Sequential Monte Carlo samplers represent a compelling approach to posterior inference in Bayesian models, due to being parallelisable and providing an unbiased estimate of the posterior normalising constant. In this work, we significantly accelerate sequential …