Del Moral , Pierre - Institut de Mathematiques de Bordeaux, Université Bordeaux 1

• A Uniformly Convergent Adaptive Particle Filter Anastasia Papavasiliou
• 1194 VOLUME 129M O N T H L Y W E A T H E R R E V I E W 2001 American Meteorological Society
• Bordeaux, le 27 Mai 2009 Fiche de Poste Post-doctorat
• Numerical methods for sensitivity analysis of Feynman-Kac models
• Distributed Control and Stochastic Analysis of Hybrid Systems Supporting Safety Critical Real-Time Systems Design
• Portfolio Optimization with Discrete Proportional Transaction Costs under Stochastic Volatility
• Particle Belief Propagation Alexander Ihler
• Curriculum Vitae : Pierre Del Moral Institut de Mathematiques de Bordeaux
• A note on LaplaceVaradhan's integral lemma P. Del Moral \Lambda , T. Zajic y
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• Filtre de Kalman d'ensemble et filtres particulaires pour le mod`ele de Lorenz
• Monte Carlo smoothing for non-linear time series
• Annealed FeynmanKac Models P. Del Moral # L. Miclo #
• Introduction An introduction to interacting stochastic algorithms Some rare event models An introduction to continuous time mod Particle Rare Event Stochastic Simulation
• Concentration for Mean Field Particle Models P. Del Moral, E. Rio
• E l e c t r o n i o b a b i l i t y
• To appear in Robotics & Automation Magazine, special issue on Human Centered Robotics and Dependability June 2004. Initial submission Aug 2002.
• ASYMPTOTIC AND INCREASING PROPAGATION OF CHAOS EXPANSIONS FOR GENEALOGICAL PARTICLE MODELS
• Filtrage Conditionnel pour le Suivi de Point dans des Squences d'Images Conditional Filtering For Point Tracking in Image Sequences
• Arbres G en ealogiques et Estimation Non Lin eaire Pierre Del Moral
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• Pierre Del Moral INRIA Senior Research Scientist
• Numerical methods for sensitivity analysis of Feynman-Kac models
• Markov chains with self interactions P. Del Moral
• Generalised Annealed Particle Mathematical Framework,
• Quelques domaines d'application
• Filtering and Particle Systems Pierre Del Moral
• Nonlinear filtering in discrete time : A particle convolution Vivien Rossi and Jean-Pierre Vila ({rossiv,vila}@ensam.inra.fr)
• Niching in Monte Carlo Filtering Algorithms Alexis Bienvenue1
• arXiv:cs.CE/0507025v18Jul2005 Comparison of Resampling Schemes for Particle Filtering
• On the Stability of Non Linear FeynmanKac Semigroups P. Del Moral L. Miclo
• A note on LaplaceVaradhan's integral lemma P. Del Moral \Lambda , T. Zajic y
• Corrections and Improvements June 2004 1. Page 35, on line 9, exchange the role of V -
• On the Stability of Interacting Processes with Applications to Filtering and Genetic Algorithms
• A mean field theory of sequential Monte Carlo methods P. Del Moral
• Real-time Particle Filters Marina Meila
• Filtrage non linaire en temps discret par convolution de particules
• Modelisation statistique et reduction de la dimension : une application `a l'estimation
• de recherche ISSN0249-6399ISRNINRIA/RR--7196--FR+ENG
• Recovering volatility from option prices by evolutionary optimization
• On the Applications of Maslov Optimization P. Del Moral \Lambda , M. Doisy y
• Particle Motions in Absorbing Medium with Hard and Soft Obstacles +Pierre Del Moral #
• On the Convergence and the Applications of the Generalized Simulated Annealing
• Submitted to the Annals of Statistics SEQUENTIALLY INTERACTING MARKOV CHAIN
• Branching and Interacting Particle Systems Approximations of FeynmanKac Formulae
• Genealogies and Increasing Propagation of Chaos for FeynmanKac and Genetic Models
• Tracking Multiple Objects with Particle Filtering
• Sommaire Chapitre 1 Chapitre 2 Chapitre 3 Chapitre 4 Chapitre 5 Chapitre 6 Chapitre 7 Eco-microbiologie Prvisionnelle
• Genealogies and Increasing Propagation of Chaos for FeynmanKac and Genetic Models
• Genetic Genealogical Models in Rare Event Analysis F. Cerou \Lambda , P. Del Moral y , F. LeGland \Lambda , P. Lezaud z
• LARGE DEVIATIONS FOR INTERACTING PROCESSES IN THE STRONGTOPOLOGY
• Contraction FeynmanKac
• On the convergence and the application of evolutionnary type stochastic particle models
• Splitting with Weight Windows to Control the Likelihood Ratio in Importance Sampling
• ON THE CONTROL OF AN INTERACTING PARTICLE ESTIMATION OF SCHR ODINGER GROUND STATES
• N d'ordre : ULCO 2008.35 Annee 2008 Prsente par
• A Tutorial on Particle Filtering and Smoothing: Fifteen years later
• Proceedings of the 2006 Winter Simulation Conference L. F. Perrone, F. P. Wieland, J. Liu, B. G. Lawson, D. M. Nicol, and R. M. Fujimoto, eds.
• Proceedings of the 2006 Winter Simulation Conference L. F. Perrone, F. P. Wieland, J. Liu, B. G. Lawson, D. M. Nicol, and R. M. Fujimoto, eds.
• SOME CONTRIBUTIONS TO NON LINEAR ESTIMATION AND INTERACTING PARTICLE SYSTEMS
• Optimal Filtering of Jump-Diffusions: Extracting Latent States from Asset Prices
• Conditional Likelihood Estimators for Hidden Markov Models
• J Math Imaging Vis (2007) 28: 118 DOI 10.1007/s10851-007-0007-8
• The MonteCarlo method for filtering with discretetime observations: Central Limit Theorems
• Multi-robot Simultaneous Localization and Mapping using Particle Filters
• Filtrage particulaire Francois LEGLAND1
• M ethodes Monte Carlo S equentielles pour l'Analyse Spectrale Bay esienne
• Interacting Particle Filtering With Discrete Observations
• Grandes deviations et erreurs de transmission par solitons dans les fibres optiques
• METHODES DE MONTE CARLO Une Introduction avec Applications
• Les processus d'evolution genetique en filtrage de signaux et en analyse de risques
• Introduction Some classical distribution flows Interacting stochastic sampling technology Functional fluctuation & comparisons So A new class of interacting Markov Chain Monte
• Self Interacting Markov chains P. Del Moral
• ON NON-LINEAR MARKOV CHAIN MONTE CARLO VIA SELF-INTERACTING APPROXIMATIONS
• ESAIM: PROCEEDINGS, Vol. ?, 2006, 1-10 Editors: Will be set by the publisher
• pour obtenir le titre de Docteur en Sciences de l'Universit Paris-Est
• dfaillants par particulaire
• A One-Pass Sequential Monte Carlo Method for Bayesian
• ORIGINAL ARTICLE K. Najim E. Ikonen P. Del Moral
• Solutions for diffuse optical tomography using the Feynman-Kac formula and interacting particle method
• Strong Propagations of Chaos in Moran's type Particle interpretations of Feynman-Kac measures
• SHARP PROPAGATION OF CHAOS ESTIMATES FOR FEYNMAN-KAC PARTICLE MODELS
• Sequential Monte Carlo Samplers Pierre Del Moral
• SMC for Bayesian Computation 1 Sequential Monte Carlo for Bayesian
• Some recent improvements to importance splitting IRISA / INRIA
• APPLICATION OF GENEALOGICAL DECISION TREES FOR OPEN-LOOP TRACKING CONTROL
• An Adaptive Sequential Monte Carlo Method for Approximate Bayesian Computation
• GENEALOGICAL PARTICLE ANALYSIS OF RARE EVENTS PIERRE DEL MORAL AND JOSSELIN GARNIER
• Particle methods in stochastic engineering P. Del Moral
• Concentration inequalities for mean field particle models P. Del Moral & E. Rio
• On the Approximations of Multiple target filtering P. Del Moral
• Concentration for Mean Field Particle Models P. Del Moral, E. Rio
• A Backward Particle Interpretation of Feynman-Kac P. Del Moral
• An introduction to particle simulation of rare events P. Del Moral
• Introduction Some classical distribution flows Interacting stochastic sampling technology Functional fluctuation & comparisons So A new class of interacting Markov Chain Monte
• INGENIERIE STOCHASTIQUE Une Introduction avec Applications
• Une introduction au filtrage stochastique Les equations du filtrage non lineaire L'heuristique du filtrage particulaire Mod`eles stocha Une theorie champ moyen du filtrage non lineaire
• Heuristiques particulaires en ingenierie stochastique Mod`eles `a temps discret Mod`eles `a temps continu Quelques references + PUB Une Introduction aux methodes particulaires en
• Some motivations Feynman-Kac models Some modeling recipes Some references Feynman-Kac particle models and their
• Introduction to measure valued equations Mean field particle models Free evolution-diffusions generators Branching mean field typ Branching particle models in environmental studies
• Some theoretical aspects of Particle/SMC Methods P. Del Moral
• Self Interacting Markov chains P. Del Moral
• Simulation particulaire d'evenements rares P. Del Moral
• Journees de Statistique Marne La Vallee, January 2005
• Modelisation markovienne. 1.1 Introduction
• Algorithmes stochastiques 3.1 Introduction
• Corrections Exercice 2.6.1
• Travaux pratiques L'objectif principal de cette serie de travaux pratiques est d'explorer
• A PARTICLE FILTER FOR MODEL BASED AUDIO SOURCE SEPARATION C. Andrieu, S.J. Godsill
• Change Detection for Nonlinear Systems; A Particle Filtering Approach
• EURASIP Journal on Applied Signal Processing 2004:15, 22952305 c 2004 Hindawi Publishing Corporation
• IRISA -Rennes Filtrage des mesures de vitesse d'un fluide. Estimation particulaire
• Simulation Methods for Nonlinear and Non-Gaussian Models in Finance
• Business Cycle and Stock Market Volatility: A Particle Filter Approach
• Stochastic volatility: option pricing using a multinomial recombining tree
• Prsentation des modles espace d'tats Application un Bioprocd de dpollution
• Preprint 16th IFAC World congress, June 4 -June 8, 2005, Prague, Czech Republic SEQUENTIAL MONTE CARLO SIMULATION
• Sequential Monte Carlo simulation for the estimation of small reachability probabilities for stochastic hybrid systems
• Distributed Control and Stochastic Analysis of Hybrid Systems Supporting Safety Critical Real-Time Systems Design
• Sequential Monte Carlo Samplers for Rare Events Adam M. Johansen, Pierre Del Moral, and Arnaud Doucet
• arXiv:cond-mat/0511412v116Nov2005 Equilibrium Sampling From Nonequilibrium
• Parameter estimation and asymptotic stability in stochastic filtering
• Sampling The Posterior: An Approach to Non-Gaussian Data Assimilation
• Particle Methods for Parameter Estimation in Hidden Markov Models Particle Methods for Parameter Estimation in
• Likelihood based inference for observed and partially observed diffusions
• Computational Advances for and from
• IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. XX, NO. XX, 200X 1 Smoothing Algorithms for State-Space Models
• Sequentially Interacting Markov Chain Monte Carlo Arnaud Doucet
• Estimation d'une densit Contrle adaptatif
• Adam Michael Johansen Christ's College
• A Rao-Blackwellized Particle Filter for EigenTracking Zia Khan, Tucker Balch, and Frank Dellaert
• arXiv:0711.0164v1[stat.CO]1Nov2007 A NOTE ON CONVERGENCE OF THE EQUI-ENERGY SAMPLER
• Inferring High-Level Behavior from Low-Level Sensors Donald J. Patterson, Lin Liao, Dieter Fox, and Henry Kautz
• Central Limit Theorem for Non Linear Filtering and Interacting Particle Systems
• Princeton University Department of Operations Research and Financial Engineering
• Introduction An introduction to interacting stochastic algorithms Some rare event models Some references Particle Rare Event Stochastic Simulation
• Ecole Doctorale Mathematique Informatique Science et Technologie de l'Information (MSTII)
• Suivi de Trajectoires Temps-Frquence par Filtrage Particulaire Corentin DUBOIS1 et Manuel DAVY2
• Effective branching splitting method under cost contraint
• The Value of Observation for Monitoring Dynamic Systems Eyal Even-Dar
• Sequential Monte Carlo Samplers for Rare Events Adam M. Johansen, Pierre Del Moral, and Arnaud Doucet
• A Monte-Carlo method for portfolio optimization under partially observed stochastic volatility
• de recherche ISSN0249-6399ISRNINRIA/RR--7499--FR+ENG
• Selection of an Optimal Portfolio with Stochastic Volatility and Discrete Observations
• ISSN0249-6399 de recherche
• ON SEQUENTIAL MONTE CARLO SAMPLING OF DISCRETELY OBSERVED STOCHASTIC DIFFERENTIAL EQUATIONS
• PROBABILITY MATHEMATICAL STATISTICS
• Sminaire sur les mthodes particulaires pour l'estimation et la commande optimale stochastique
• Concentration for Mean Field Particle Models P. Del Moral, E. Rio
• Convergence of Empirical Processes for Interacting Particle Systems with Applications to Nonlinear
• A BerryEsseen theorem for FeynmanKac and interacting particle models
• Problem Description Theory of Large Deviations
• ESAIM: PROCEEDINGS, September 2007, Vol.19, 79-84 Christophe Andrieu & Dan Crisan, Editors
• 406 IEEE TRANSACTIONS ON INFORMATION THEORY, VOL. 54, NO. 1, JANUARY 2008 Our results use algebraic geometry codes based on elliptic curves.
• Some motivations Feynman-Kac models Some modeling recipes Some references Feynman-Kac particle models and their
• An Interacting Particle System Approach for Molecular Dynamics
• CONTRIBUTIONS INTERACTING
• CONTRIBUTIONS A L'ESTIMATION NON LINEAIRE ET AUX SYSTEMES DE PARTICULES EN INTERACTION
• Stochastic sampling strategies Feynman-Kac models Some rare event models Some references Particle rare event simulation
• A GENERALIZED MODEL OF MUTATION-SELECTION BALANCE WITH APPLICATIONS TO AGING
• Particle approximations of Lyapunov exponents connected to Schrodinger operators and FeynmanKac semigroups
• This is page 523 Printer: Opaque this
• Probability FEYNMANKAC
• On convergence of chains with time empirical selfinteractions P. Del Moral L. Miclo
• Curriculum Vitae : Pierre Del Moral Senior Research Scientist, The French National Institute for
• 28th Conference on Stochastic Processes and their Applications, Melbourne July 2002.
• Montreal, November 2002 Annealed Feynman-Kac models
• Montreal University, Nov. 2002 A new class of genealogical and interacting
• Estimation and Pricing under Long-Memory Stochastic Volatility
• Suivi de mouvement fluide par filtrage stochastique Anne Cuzol Etienne Mmin
• On the Stability of Non Linear FeynmanKac Semigroups P. Del Moral L. Miclo
• About supercontraction properties of Markov kernels P. Del Moral M. Ledoux L. Miclo \Lambda
• Une introduction au filtrage stochastique Les equations du filtrage non lineaire L'heuristique du filtrage particulaire Mod`eles stocha Filtrage particulaire
• P U B L I C A T I O N I N T E R N E
• Self Interacting Markov chains P. Del Moral
• Sequential Monte Carlo for Model Predictive , J.M. Maciejowski
• Using systematic sampling for approximating Feynman-Kac solutions by Monte Carlo methods
• FIXED-LAG SEQUENTIAL MONTE CARLO Arnaud Doucet1
• 2D Action Recognition Serves 3D Human Pose Juergen Gall1
• Optimizing Over a Set of Manifolds Juergen Gall1
• Submitted to the Annals of Statistics SEQUENTIALLY INTERACTING MARKOV CHAIN
• Stochastic Processes and their Applications 78 (1998) 69--95 Large deviations for interacting particle systems
• Montpellier, Genealogical
• Precise Propagations of Chaos Estimates for FeynmanKac and Genealogical Particle Models
• Feynman-Kac models Motivating examples Contraction inequalities Uniform mean field particle estimates Some references On the Stability of Feynman-Kac semigroups
• OPTIMAL FILTERING FOR PARTIALLY OBSERVED POINT PROCESSES USING TRANS-DIMENSIONAL SEQUENTIAL MONTE CARLO
• UFR de Mathmatiques et Informatique Ecole doctorale Mathmatiques Paris Centre
• Large Deviations for Interacting Particle Systems. Applications to Non Linear Filtering
• A Branching Particle Approximation to a Filtering Micromovement Model of Asset Price
• Stat Comput DOI 10.1007/s11222-007-9037-8
• IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS, VOL. X, NO. XXX, JUNE 2005 1 Sequential Monte Carlo methods for Multi-target
• Ann Inst Stat Math (2010) 62:6189 DOI 10.1007/s10463-009-0236-2
• The Canadian Journal of Statistics La revue canadienne de statistique
• 2010 Royal Statistical Society 13697412/10/72269 J. R. Statist. Soc. B (2010)
• PREPRINT: IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 56, NO. 4, PP. 1313-1326, 2008 1 Bayesian Filtering with Random Finite Set
• Introducing the Laplace approximation in particle filtering
• Automatica 43 (2007) 817830 www.elsevier.com/locate/automatica
• Biometrika (2011), 98, 1, pp. 6580 doi: 10.1093/biomet/asq062 C 2011 Biometrika Trust Advance Access publication 4 February 2011
• Approximate Nonlinear Filtering and its Application in Navigation B. Azimi-Sadjadi
• arXiv:0806.0186v1[cond-mat.other]1Jun2008 Stochastic Dynamical Structure (SDS) of Nonequilibrium
• Monte Carlo Smoothing for Nonlinear Time Series Simon J. GODSILL, Arnaud DOUCET, and Mike WEST
• Efficient Filtering in State-Space Representations David N. DeJong
• arXiv:0808.3466v2[stat.CO]11Nov2009 On sequential Monte Carlo, partial rejection control
• A Branching Particle Approximation to the Filtering Problem with Counting Process Observations
• Particle Filter-based Policy Gradient in POMDPs Pierre-Arnaud Coquelin
• arXiv:0710.4245v1[stat.ME]23Oct2007 Particle Filters for Partially Observed Diffusions
• Submitted to the Annals of Applied Statistics STATISTICAL ANALYSIS OF A DYNAMIC MODEL FOR
• COMPUTING THE FIRST EIGENELEMENTS OF SOME LINEAR OPERATORS USING A BRANCHING
• Approximate Nonlinear Filtering and Its Applications for GPS B. Azimi-Sadjadi and P.S. Krishnaprasad
• .r Saitama Univ., Fac. Educ.. 56(1) : 307-321 (2007) Un Thorme Limite de Systme des
• WORKING PAPER SERIES 15 David N. DeJong, Hariharan Dharmarajan, Roman Liesenfeld, Guilherme Moura,
• Inference in Hidden Markov Models Olivier Cappe, Eric Moulines and Tobias Ryden
• A Stochastic Filtering Technique for Fluid Flow Velocity Fields Tracking
• Estimating Stochastic Volatility via Filtering for the Micro-movement of Asset Prices
• Particle Filters for State and Parameter Estimation of Cox Process
• QIB: Connecting Feynman Path Integrals to Biophysical Problems
• Randomized Algorithms with Splitting: Why the Classic Randomized Algorithms
• #' #' $ -' .#/0-.1--,. 0 + " " ! 0,-3
• Bayesian Filtering for Jump-Diffusions with Applications to Stochastic Volatility
• Giovanni Petris, Sonia Petrone, Patrizia Dynamic Linear Models with R
• Fondation Sciences Mathmatiques de Paris -www.sciencesmaths-paris.fr IHP, 11 rue Pierre et Marie Curie 75231 Paris Cedex 05
• Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering.
• Inference for Partially Observed Point Process Models BY JAMES S. MARTIN, AJAY JASRA & EMMA McCoy
• Efficient Monte Carlo Simulation via The Generalized Splitting Method
• arXiv:1105.4519v1[stat.ME]23May2011 State-Observation Sampling and the
• Estimation of rare events probabilities in computer experiments
• University of Warwick institutional repository: http://go.warwick.ac.uk/wrap This paper is made available online in accordance with
• Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
• Intra-daily variations in volatility and transaction costs in the Credit Default Swap market
• Time 0 100 200 300 400 500
• arXiv:math/0412193v3[math.PR]2Apr2008 Explicit formulas for a continuous stochastic maturation model.
• Sequential Monte Carlo Simulated Annealing Department of Industrial & Enterprise Systems Engineering
• Title Some statistical topics on sequential data assimilation Author(s) Lui, Chiu-sing, Gilbert; qgv
• Estimating default probabilities for CDO's: a regime switching model
• Preliminaries Smooth Likelihood Estimation Applications References Nearly Smooth Particle Filters for Likelihood
• arXiv:1107.5524v1[stat.ME]27Jul2011 Particle approximation improvement of the joint smooth-
• IMPORTANCE SAMPLING AND INTERACTING PARTICLE SYSTEMS FOR THE ESTIMATION OF MARKOVIAN CREDIT
• Dissertation im Fachbereich Mathematik der Technischen Universitt Kaiserslautern
• Filtering Methods Andras Fulop
• Sequential Monte Carlo in Model Comparison: Example in Cellular Dynamics in Systems Biology
• Framework Multilevel Splitting Adaptive Levels Watermarking Rare Event Simulation
• arXiv:1011.1170v1[stat.CO]4Nov2010 Interacting Multiple Try Algorithms with Different
• Random Search Algorithms Zelda B. Zabinsky
• Pierre Del Moral INRIA Senior Research Scientist
• LIMIT THEOREMS FOR SOME BRANCHING MEASURE-VALUED PROCESSES BERTRAND CLOEZ
• arXiv:1005.1530v1[math.PR]10May2010 Interacting particle systems and Yaglom limit
• Copyright by SIAM. Unauthorized reproduction of this article is prohibited. SIAM J. FINANCIAL MATH. c 2011 Society for Industrial and Applied Mathematics
• Linkping studies in science and technology. Thesis. Rao-Blackwellised particle methods
• Commun. Theor. Phys. (Beijing, China) 49 (2008) pp. 10731090 c Chinese Physical Society Vol. 49, No. 5, May 15, 2008
• Technical Report No. 12/04, December 2004 RATES FOR BRANCHING PARTICLE APPROXIMATIONS OF
• An Introduction to Interacting Simulated Juergen Gall, Bodo Rosenhahn, and Hans-Peter Seidel
• MODELLING AND ESTIMATION OF SEPARATION CRITERIA FOR AIRBORNE TIME-BASED SPACING OPERATION
• UNIVERSIDAD DE CHILE FACULTAD DE CIENCIAS FISICAS Y MATEMATICAS
• En vue de l'obtention du DDOOCCTTOORRAATT DDEE LL''UUNNIIVVEERRSSIITT DDEE TTOOUULLOOUUSSEE
• Multiple Target Tracking With Constrained Motion Using Particle Filtering Methods
• Sequential Monte Carlo Methods for Normalized Random Measure with Independent Increments
• Exposition aux risques alimentaires et processus stochastiques
• SSStttooonnnyyy BBBrrrooooookkk UUUnnniiivvveeerrrsssiiitttyyy The official electronic file of this thesis or dissertation is maintained by the University
• Bayesian parameter inference for stochastic biochemical network models using particle MCMC
• Strong consistency of Bayesian estimator under discrete observations and unknown transition density
• State-Observation Sampling Laurent E. Calvet and Veronika Czellar
• Stochastic Volatility and Option Pricing with Long-Memory in Discrete and Continuous Time
• International Scientific Conference Computer Science'2008 Simulation of Rare Event in Queueing Systems
• Abstract--This paper studies probabilistic reachability analysis for large scale stochastic hybrid systems (SHS) as a
• arXiv:1011.2416v1[math-ph]10Nov2010 Free energy computations by minimization of
• PARAMETER ESTIMATION FOR HIDDEN MARKOV MODELS WITH INTRACTABLE LIKELIHOODS
• FRAMEWORK FOR ONLINE SUPERIMPOSED EVENT DETECTION BY SEQUENTIAL MONTE CARLO METHODS
• On a probabilistic interpretation of shape derivatives of Dirichlet groundstates with
• Copyright by SIAM. Unauthorized reproduction of this article is prohibited. SIAM J. FINANCIAL MATH. c 2010 Society for Industrial and Applied Mathematics
• Interacting Sequential Monte Carlo Samplers for Trans-dimensional Simulation
• Estimation procedure for a hidden Markov chain model with applications to finance, climate data
• A study about the existence of the leverage effect in Stochastic Volatility models
• arXiv:0801.4366v2[math.PR]24Sep2009 The Annals of Probability
• Submitted to the Annals of Applied Probability A SEQUENTIAL MONTE CARLO APPROACH TO
• On housing booms and credit market conditions: A state space model
• IOP PUBLISHING EUROPEAN JOURNAL OF PHYSICS Eur. J. Phys. 31 (2010) 12951303 doi:10.1088/0143-0807/31/5/028
• Sequential Importance Sampling And Resampling For Dynamic Portfolio Credit Risk
• Ecient Bayesian Inference for Switching State-Space Models using Particle Markov Chain Monte Carlo Methods
• A survey of sequential Monte Carlo methods for economics and finance
• Global Estimation in Constrained Environments
• Interacting Particle Systems for the Computation of CDO Tranche Spreads
• Copyright 2006 by the Genetics Society of America DOI: 10.1534/genetics.105.044271
• arXiv:1005.4797v1[stat.CO]26May2010 Sequential Monte Carlo Methods for Option Pricing
• Modelling of Stochastic Hybrid Systems with Applications to Accident Risk Assessment
• Change Detection in Partially Observed Nonlinear Dynamic Systems with Unknown Change Parameters (with Proofs)
• Real Time Pedestrian Tracking using Thermal Infrared Imagery
• Technical report from Automatic Control at Linkpings universitet Basic Convergence Results for Particle
• A Kalman-Particle Kernel Filter and its Application to Terrain Navigation
• Sequential Monte Carlo samplers for Bayesian DSGE models First version: February 8, 2007 Current version: March 27, 2007
• Computational Methods for Complex Stochastic Systems: A Review of Some Alternatives to MCMC
• arXiv:1109.6779v2[stat.CO]3Oct2011 Stability properties of some particle filters
• arXiv:0903.3329v1[cs.LG]19Mar2009 Optimal Policies Search for Sensor Management
• Thesis for the degree of Master of Science Mathematical Statistics
• Numro d'ordre : U.F.R. S 'O
• Auxiliary Particle Implementation of the Probability Hypothesis Density Filter Nick Whiteley Sumeetpal Singh Simon Godsill
• arXiv:math/0703407v1[math.NA]14Mar2007 Mathematical Modelling and Numerical Analysis Will be set by the publisher
• Construction d'un algorithme d'acclration de la mthode des simulations dans les simulations pour le calcul du capital conomique Solvabilit II
• arXiv:0902.0347v1[math.ST]2Feb2009 Iterated Filtering
• Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
• Statistical Data Fusion for Hybrid Localization of Mobile Terminals
• FILTERING COMPLEX TURBULENT SYSTEMS Andrew J. Majda
• arXiv:0810.0744v1[math-ph]4Oct2008 A multi-resolution, non-parametric, Bayesian
• arXiv:0911.0230v1[stat.CO]2Nov2009 Particle filtering within adaptive
• STOCHASTIC DESIGN AND CONTROL IN RANDOM HETEROGENEOUS MATERIALS
• Proceedings of the Workshop Inference and Estimation in
• SAMPLING PER MODE SIMULATION FOR SWITCHING Pascal Lezaud1
• Parameter Inference for Stopped Processes Ajay Jasra1
• SOME ISSUES AND RESULTS ON THE EnKF AND PARTICLE FILTERS FOR
• Linkping University Post Print Particle Filter Theory and Practice with
• arXiv:1001.2753v2[stat.ML]23Jan2010 SCALABLE BAYESIAN REDUCED-ORDER MODELS FOR
• Motivation Methodology Numerical Example Conclusions & Outlook Accurate Uncertainty Quantification Using
• Fondation Sciences Mathmatiques de Paris -www.sciencesmaths-paris.fr IHP, 11 rue Pierre et Marie Curie 75231 Paris Cedex 05
• A Continuous-State Version of Discrete Randomized Shortest-Paths, with Application to Path Planning
• arXiv:1007.4481v1[cond-mat.stat-mech]26Jul2010 A multiple replica approach to simulate reactive
• ANTITHETIC SAMPLING FOR SEQUENTIAL MONTE CARLO METHODS WITH APPLICATION TO STATE SPACE MODELS
• Simulation estimators in a dynamic model for food contaminant exposure
• arXiv:0812.0350v2[math.PR]3Sep2009 UNIFORM TIME AVERAGE CONSISTENCY
• arXiv:0704.1771v2[math-ph]7May2007 Fractional Generalization of Kac Integral
• A multi-resolution Bayesian framework for the identification of spatial variability of material properties
• ccsd-00003498,version2-2May2006 A continuous stochastic maturation model
• arXiv:0905.3636v1[math.PR]22May2009 Approximation of quasi-stationary distributions for
• A Maximum Entropy Method for Particle Filtering
• Methodol Comput Appl Probab DOI 10.1007/s11009-008-9101-7
• Journes des Thses 2011 Branche TIS (DCSD/DCPS/DTIM)
• Nationaal Lucht-en Ruimtevaartlaboratorium National Aerospace Laboratory NLR
• Noname manuscript No. (will be inserted by the editor)
• INTERNATIONAL JOURNAL OF ADAPTIVE CONTROL AND SIGNAL PROCESSING Int. J. Adapt. Control Signal Process. 2010; 00:16 Prepared using acsauth.cls [Version: 2002/11/11 v1.00]
• arXiv:0912.4072v1[math.NA]21Dec2009 Stochastic global optimization as a filtering problem
• The Time Machine: A Simulation Approach for Stochastic Ajay Jasra1
• (0,0) F F P
• & ! + ( ) ! -) 0 1 04/1# % %
• arXiv:0808.3416v1[stat.CO]25Aug2008 UNCERTAINTY QUANTIFICATION IN COMPLEX SYSTEMS
• Ecole ECODOQUI: rsum du cours Dynamique molculaire et calcul d'nergie libre
• Color-Based Fingertip Tracking Using Modified Dynamic Model Particle Filtering Method
• arXiv:0902.3526v2[stat.ML]27Mar2009 Online Multi-task Learning with Hard Constraints
• GENERALISED PARTICLE FILTERS WITH GAUSSIAN MEASURES Dan Crisan and Kai Li
• Air traffic complexity and the interacting particle system method: An integrated approach for collision risk estimation
• Learning and filtering via simulation: smoothly jittered particle filters
• Optimisation with SMC Samplers Adam M. Johansen
• Stat Comput (2007) 17: 263279 DOI 10.1007/s11222-007-9028-9
• arXiv:1108.3988v1[stat.CO]19Aug2011 Linear Variance Bounds for Particle Approximations of
• arXiv:1103.3965v1[stat.CO]21Mar2011 On the Stability of Sequential Monte Carlo Methods in High
• Sensitivity analysis in HMMs with application to likelihood maximization
• Variance Reduction for Particle Filters of Systems with Time Scale Separation
• Une interpretation particulaire `a rebours de mesures de Feynman-Kac sur des espaces de trajectoires
• rhO' HEWLETT ~f..l PACKA~D
• Fluctuations of Interacting Markov Chain Monte Carlo Bernard Bercu , Pierre Del Moraly
• Foundations and Trends R Machine Learning
• The Monte Carlo Method Nicholas Metropolis; S. Ulam
• Particle Methods for Filtering & Uncertainty Propagations P. Del Moral
• Stochastic particle methods in Bayesian statistical learning P. Del Moral (INRIA team ALEA)
• On the concentration of interacting particle processes Part III : Theoretical analysis
• On the concentration of interacting particle processes Part I : Introduction and survey
• Genetic type particle methods: An introduction with applications
• On the concentration of interacting particle processes Part II : Application domains
• Mod`eles & Methodes Stochastiques pour l'Analyse de Risques. P. Del Moral (Equipe INRIA ALEA)
• On the Approximations of Multiple target filtering P. Del Moral
• Adam Michael Johansen Christ's College
• Genetic type particle methods: An introduction with applications
• Modular model of TNF cytotoxicity Roberto Chignola 1,2, Vladislav Vyshemirsky 3 , Marcello Farina 4 , Alessio
• Branching and Interacting Particle Interpretations of Rare Event Probabilities