Recent Advances in Sequential Monte Carlo / Warwick 2012
This blog is not dead! And it’s gonna get more active soon.
These last few days, a workshop on Sequential Monte Carlo methods was held in the University of Warwick (link to the webpage). It was a very exciting meeting, efficiently organised by Arnaud Doucet, Adam Johansen, Anthony Lee and Murray Pollock and hosted by CRiSM. For those who couldn’t attend, here’s a little summary of my experience (or more exactly, just a bunch of links). Since SMC methods are at the core of my research, I was logically interested by all the talks (which is exceptional for 3 days of workshop, filled with 30 talks!). It was probably a good time for a workshop on SMC, since there’s a lot of recent activity in the field. My impression is that this renewed interest is mainly due to:
- the Particle MCMC framework, which inspired other algorithms (like our SMC^2 that Nicolas Chopin presented, or the Particle Gibbs with ancestral sampling), renewed interest in the normalising constant estimate in particle filters, and more generally made it possible to estimate parameters in a broad class of time series models with plenty of diverse applications (probably more than 200 citations already);
- theoretical advances, with recent papers from Pierre Del Moral, Nick Whiteley, Ajay Jasra, and many others;
- a new class of exact algorithms for simulating continuous time processes without any discretisation error, based on sequential importance sampling, in a fascinating work by Paul Fearnhead, Krzysztof Łatuszyński and colleagues.
- parallel computing, including the recent GPU trend, which makes SMC all the more attractive compared to purely iterative algorithms like MCMC.
The last point was illustrated at this workshop by a recent work from Alexandre Bouchard-Côté and colleagues called “Entangled Monte Carlo”, as well as by my own presentation: I talked about a new resampling scheme that avoids global interactions between all the particles, and resorts only to multiple pair-wise interactions. This is an on-going work with Pierre Del Moral, Anthony Lee, Lawrence Murray and Gareth Peters, that I might talk about again with more details in the future!