Recent Advances in Sequential Monte Carlo / Warwick 2012

Posted in General, Seminar/Conference by Pierre Jacob on 21 September 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 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!



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