Heading to the National University of Singapore
Next Wednesday (Feb 8th) I’ll give a talk on SMC² at the National University of Singapore (3pm, S16-06-118, DSAP Seminar Room if you’re interested).
By the way, the SMC² paper has been hugely revised, along with the python package and the supplement. Among the main changes, we made a thorough comparison with Liu & West SMC method (which is based on extending the hidden state to include the parameter), and we added a fair bit of justification of the computational cost of the method, which we believe is very reasonable considering the difficulty of the problem (ie estimation in HMM) and the cost of concurrent algorithms. We also considered the validity of SMC² on a sequence of annealed posterior densities, following a reviewer’s interesting comment. It’s good to be finished with it (for now at least), and to move to new projects!
I’ll spend next week in Singapore working with Ajay Jasra, and then I’ll head off to the Monte Carlo and Quasi Monte Carlo conference in Sydney, where I’ll stay for ~2 weeks. I’ll be worth another blog post of course.