Search engine for discovering works of Art, research articles, and books related to Art and Culture
Javascript must be enabled to continue!
Sequential Monte Carlo Methods
View through CrossRef
This chapter analyzes Sequential Monte Carlo (SMC) algorithms and how they were initially developed to solve filtering problems that arise in nonlinear state–space models. The first paper that applied SMC techniques to posterior inference in DSGE models is Creal (2007). Herbst and Schorfheide (2014) developed the algorithm further, provided some convergence results for an adaptive version of the algorithm, and showed that a properly tailored SMC algorithm delivers more reliable posterior inference for largescale DSGE models with multimodal posteriors than the widely used RMWHV algorithm. An additional advantage of the SMC algorithms over MCMC algorithms, on the computational front, highlighted by Durham and Geweke (2014), is that SMC is much more amenable to parallelization.
Princeton University Press
Title: Sequential Monte Carlo Methods
Description:
This chapter analyzes Sequential Monte Carlo (SMC) algorithms and how they were initially developed to solve filtering problems that arise in nonlinear state–space models.
The first paper that applied SMC techniques to posterior inference in DSGE models is Creal (2007).
Herbst and Schorfheide (2014) developed the algorithm further, provided some convergence results for an adaptive version of the algorithm, and showed that a properly tailored SMC algorithm delivers more reliable posterior inference for largescale DSGE models with multimodal posteriors than the widely used RMWHV algorithm.
An additional advantage of the SMC algorithms over MCMC algorithms, on the computational front, highlighted by Durham and Geweke (2014), is that SMC is much more amenable to parallelization.
Related Results
Monte Carlo methods: barrier option pricing with stable Greeks and multilevel Monte Carlo learning
Monte Carlo methods: barrier option pricing with stable Greeks and multilevel Monte Carlo learning
For discretely observed barrier options, there exists no closed solution under the Black-Scholes model. Thus, it is often helpful to use Monte Carlo simulations, which are easily a...
Research on Multi-Group Monte Carlo Calculations Based on Group Constants Generated by RMC
Research on Multi-Group Monte Carlo Calculations Based on Group Constants Generated by RMC
Abstract
Nowadays, deterministic two-step or Monte Carlo methods are commonly used in core physics calculations. However, with the development of reactor core design, tradi...
Automation of the Monte Carlo simulation of medical linear accelerators
Automation of the Monte Carlo simulation of medical linear accelerators
The main result of this thesis is a software system, called PRIMO, which simulates clinical linear accelerators and the subsequent dose distributions using the Monte Carlo method. ...
Development of advanced geometric models and acceleration techniques for Monte Carlo simulation in Medical Physics
Development of advanced geometric models and acceleration techniques for Monte Carlo simulation in Medical Physics
Els programes de simulació Monte Carlo de caràcter general s'utilitzen actualment en una gran varietat d'aplicacions.<br/>Tot i això, els models geomètrics implementats en la...
Probabilistic Field Development in Presence of Uncertainty
Probabilistic Field Development in Presence of Uncertainty
Abstract
Field developments are characterized by high levels of uncertainty and dynamic interconnected decisions with a complex value description. Typical decisio...
Sistem Prediksi Penjualan Frozen Food dengan Metode Monte Carlo (Studi Kasus: Supermama Frozen Food)
Sistem Prediksi Penjualan Frozen Food dengan Metode Monte Carlo (Studi Kasus: Supermama Frozen Food)
Abstract. Frozen Food Sales Prediction System Case Study of Supermama Frozen Food Using the Monte Carlo Method. Frozen processed food is increasingly popular, so frozen food stores...
Absolute quantification in brain SPECT imaging
Absolute quantification in brain SPECT imaging
Certes malalties neurològiques estan associades amb problemes en els sistemes de neurotransmissió. Una aproximació a l'estudi d'aquests sistemes és la tomografia d'emissió SPECT (S...
Application of a Monte Carlo Technique in Gas Plant Design
Application of a Monte Carlo Technique in Gas Plant Design
Abstract
This paper describes two illustrative examples demonstrating the application of Monte Carlo techniques to gas process design. In addition, a detailed dis...