SequentialMonteCarlo.jl

A light interface to serial and multi-threaded Sequential Monte Carlo

• Introduction
• • Which SMC algorithm?
  • Notation and assumptions
• Integrals approximated by SMC
• • The measures and integrals
  • Recursive definition
• SMC algorithm and particle approximations
• • SMC algorithm
  • Main particle approximations
  • Genealogical structure
  • Recursive definition
• Theoretical properties of particle approximations
• Variance estimators
• • Asymptotic variances
  • The estimators
  • Theoretical justification
• SMC with adaptive resampling
• • (Relative) effective sample size
  • Adaptive resampling algorithm
  • Particle approximations
  • Variance estimation
• Conditional SMC
• Implementation notes
• Performance tips
• Interface
• • Specifying an SMC model
  • Running the SMC algorithm
  • Extracting the main outputs
  • Variance estimators
  • Adaptive resampling
  • Accessing the particle system
  • Conditional SMC
• Documentation strings
• • Types
  • Functions
• Connection to hidden Markov models
• Benchmarks
• • Procedure
  • Results
• References