SQMC read paper
Almost 10 months since my latest post? I guess bloggin’ ain’t my thing… In my defense, Mathieu Gerber and I were quite busy revising our SQMC paper. I am happy to announce that it has just been accepted as a read paper in JRSSB. If all goes as planned, we should present the paper at the RSS ordinary meeting on Dec 10. Everybody is welcome to attend, and submit an oral or written discussion (or both). More details soon, when the event is officially announced on the RSS web-site.
What is SQMC? It is a QMC (Quasi-Monte Carlo) version of particle filtering. For the same CPU cost, it typically generates much more accurate estimators. Interested? consider reading the paper here (more recent version coming soon), checking this video where I present SQMC, or, even better, attending our talk in London!