Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
In this article we develop a new sequential Monte Carlo method for multilevel Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an infinite-dimensional and noncompact space—as produced, for example, by a Baye...
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| Format: | Article |
| Language: | English |
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Society for Industrial & Applied Mathematics (SIAM)
2020
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| Online Access: | https://hdl.handle.net/1721.1/126540 |