東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

An introduction to Sequential Monte ...

Chopin, Nicolas.

Linked to FindBook

Google Book

Amazon

博客來

An introduction to Sequential Monte Carlo

Record Type:	Electronic resources : Monograph/item
Title/Author:	An introduction to Sequential Monte Carlo/ by Nicolas Chopin, Omiros Papaspiliopoulos.
Author:	Chopin, Nicolas.
other author:	Papaspiliopoulos, Omiros.
Published:	Cham :Springer International Publishing : : 2020.,
Description:	xxiv, 378 p. :ill., digital ;24 cm.
[NT 15003449]:	1 Preface -- 2 Introduction to state-space models -- 3 Beyond state-space models -- 4 Introduction to Markov processes -- 5 Feynman-Kac models: definition, properties and recursions -- 6 Finite state-spaces and hidden Markov models -- 7 Linear-Gaussian state-space models -- 8 Importance sampling -- 9 Importance resampling -- 10 Particle filtering -- 11 Convergence and stability of particle filters -- 12 Particle smoothing -- 13 Sequential quasi-Monte Carlo -- 14 Maximum likelihood estimation of state-space models -- 15 Markov chain Monte Carlo -- 16 Bayesian estimation of state-space models and particle MCMC -- 17 SMC samplers -- 18 SMC2, sequential inference in state-space models -- 19 Advanced topics and open problems.
Contained By:	Springer Nature eBook
Subject:	Monte Carlo method. -
Online resource:	https://doi.org/10.1007/978-3-030-47845-2
ISBN:	9783030478452

An introduction to Sequential Monte Carlo
Chopin, Nicolas.

An introduction to Sequential Monte Carlo[electronic resource] /by Nicolas Chopin, Omiros Papaspiliopoulos. - Cham :Springer International Publishing :2020. - xxiv, 378 p. :ill., digital ;24 cm. - Springer series in statistics,0172-7397. - Springer series in statistics..

1 Preface -- 2 Introduction to state-space models -- 3 Beyond state-space models -- 4 Introduction to Markov processes -- 5 Feynman-Kac models: definition, properties and recursions -- 6 Finite state-spaces and hidden Markov models -- 7 Linear-Gaussian state-space models -- 8 Importance sampling -- 9 Importance resampling -- 10 Particle filtering -- 11 Convergence and stability of particle filters -- 12 Particle smoothing -- 13 Sequential quasi-Monte Carlo -- 14 Maximum likelihood estimation of state-space models -- 15 Markov chain Monte Carlo -- 16 Bayesian estimation of state-space models and particle MCMC -- 17 SMC samplers -- 18 SMC2, sequential inference in state-space models -- 19 Advanced topics and open problems.

This book provides a general introduction to Sequential Monte Carlo (SMC) methods, also known as particle filters. These methods have become a staple for the sequential analysis of data in such diverse fields as signal processing, epidemiology, machine learning, population ecology, quantitative finance, and robotics. The coverage is comprehensive, ranging from the underlying theory to computational implementation, methodology, and diverse applications in various areas of science. This is achieved by describing SMC algorithms as particular cases of a general framework, which involves concepts such as Feynman-Kac distributions, and tools such as importance sampling and resampling. This general framework is used consistently throughout the book. Extensive coverage is provided on sequential learning (filtering, smoothing) of state-space (hidden Markov) models, as this remains an important application of SMC methods. More recent applications, such as parameter estimation of these models (through e.g. particle Markov chain Monte Carlo techniques) and the simulation of challenging probability distributions (in e.g. Bayesian inference or rare-event problems), are also discussed. The book may be used either as a graduate text on Sequential Monte Carlo methods and state-space modeling, or as a general reference work on the area. Each chapter includes a set of exercises for self-study, a comprehensive bibliography, and a "Python corner," which discusses the practical implementation of the methods covered. In addition, the book comes with an open source Python library, which implements all the algorithms described in the book, and contains all the programs that were used to perform the numerical experiments.

ISBN: 9783030478452

Standard No.: 10.1007/978-3-030-47845-2doiSubjects--Topical Terms:

551308
Monte Carlo method.

LC Class. No.: QA298 / .C467 2020

Dewey Class. No.: 518.282

An introduction to Sequential Monte Carlo
LDR:03507nmm a2200337 a 4500 001 2243899
003 DE-He213
005 20210128134323.0
006 m d
007 cr nn 008maaau
008 211207s2020 sz s 0 eng d
020 $a 9783030478452 $q (electronic bk.)
020 $a 9783030478445 $q (paper)
024 7 $a 10.1007/978-3-030-47845-2 $2 doi
035 $a 978-3-030-47845-2
040 $a GP $c GP
041 0 $a eng
050 4 $a QA298 $b .C467 2020
072 7 $a PBT $2 bicssc
072 7 $a MAT029000 $2 bisacsh
072 7 $a PBT $2 thema
082 0 4 $a 518.282 $2 23
090 $a QA298 $b .C549 2020
100 1 $a Chopin, Nicolas. $3 3504352
245 1 3 $a An introduction to Sequential Monte Carlo $h [electronic resource] / $c by Nicolas Chopin, Omiros Papaspiliopoulos.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2020.
300 $a xxiv, 378 p. : $b ill., digital ; $c 24 cm.
490 1 $a Springer series in statistics, $x 0172-7397
505 0 $a 1 Preface -- 2 Introduction to state-space models -- 3 Beyond state-space models -- 4 Introduction to Markov processes -- 5 Feynman-Kac models: definition, properties and recursions -- 6 Finite state-spaces and hidden Markov models -- 7 Linear-Gaussian state-space models -- 8 Importance sampling -- 9 Importance resampling -- 10 Particle filtering -- 11 Convergence and stability of particle filters -- 12 Particle smoothing -- 13 Sequential quasi-Monte Carlo -- 14 Maximum likelihood estimation of state-space models -- 15 Markov chain Monte Carlo -- 16 Bayesian estimation of state-space models and particle MCMC -- 17 SMC samplers -- 18 SMC2, sequential inference in state-space models -- 19 Advanced topics and open problems.
520 $a This book provides a general introduction to Sequential Monte Carlo (SMC) methods, also known as particle filters. These methods have become a staple for the sequential analysis of data in such diverse fields as signal processing, epidemiology, machine learning, population ecology, quantitative finance, and robotics. The coverage is comprehensive, ranging from the underlying theory to computational implementation, methodology, and diverse applications in various areas of science. This is achieved by describing SMC algorithms as particular cases of a general framework, which involves concepts such as Feynman-Kac distributions, and tools such as importance sampling and resampling. This general framework is used consistently throughout the book. Extensive coverage is provided on sequential learning (filtering, smoothing) of state-space (hidden Markov) models, as this remains an important application of SMC methods. More recent applications, such as parameter estimation of these models (through e.g. particle Markov chain Monte Carlo techniques) and the simulation of challenging probability distributions (in e.g. Bayesian inference or rare-event problems), are also discussed. The book may be used either as a graduate text on Sequential Monte Carlo methods and state-space modeling, or as a general reference work on the area. Each chapter includes a set of exercises for self-study, a comprehensive bibliography, and a "Python corner," which discusses the practical implementation of the methods covered. In addition, the book comes with an open source Python library, which implements all the algorithms described in the book, and contains all the programs that were used to perform the numerical experiments.
650 0 $a Monte Carlo method. $3 551308
650 1 4 $a Statistical Theory and Methods. $3 891074
650 2 4 $a Big Data. $3 3134868
650 2 4 $a Data-driven Science, Modeling and Theory Building. $3 2210495
650 2 4 $a Statistics and Computing/Statistics Programs. $3 894293
650 2 4 $a Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences. $3 1005896
700 1 $a Papaspiliopoulos, Omiros. $3 3504353
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer Nature eBook
830 0 $a Springer series in statistics. $3 1315057
856 4 0 $u https://doi.org/10.1007/978-3-030-47845-2
950 $a Mathematics and Statistics (SpringerNature-11649)