A Tutorial on Particle Filtering and Smoothing: Fifteen years later

By Arnaud Doucet, Adam M. Johansen. 2008

2,215 citations recorded by the source corpus.

Subfields: Probabilistic & Bayesian Methods

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Citations in the corpus

Recurrent Neural Network Grammars (2016, methodology): “To obtain estimates of these, we use a variant of importance sampling (Doucet and Johansen, 2011).”
Sequential Kernel Herding: Frank-Wolfe Optimization for Particle Filtering (2015, methodology): “Then for any ﬁnite signed Borel measure ν on X t , we have: Theorem 2 (Consistency of SKH) .”
The frontier of simulation-based inference (2019, background): “This approach abstracts the capabilities needed to implement particle filters and SMC (41).”
Kernel Sequential Monte Carlo (2015, methodology): “Sequential Monte Carlo algorithms [6, 8] approximate a target density π by iteratively targeting a sequence of incremental densities π0, .”
Diffusion probabilistic modeling of protein backbones in 3D for the motif-scaffolding problem (2022, neutral): “[9] Arnaud Doucet and Adam M Johansen.”
Deep Variational Reinforcement Learning for POMDPs (2018, background): “…this approximation becomes clear if we compare (21) with the ELBO for the importance weighted autoencoder ( IWAE ) that does not include resampling (Doucet & Johansen, 2009; Burda et al., 2016): (22) Because this loss is not additive over time, we cannot approximate it with shorter parts of the…”
A Survey of Positioning Systems Using Visible LED Lights (2018, methodology): “The PF, which is a Monte Carlo method, uses a set of weighted particles to approximate the real posterior distribution [90-93].”
Nonlinear System Identification: A User-Oriented Road Map (2019, methodology): “The theoretical basis underpinning these methods is by now quite extensive, an entry-points into this literature is [145], [147].”
An efficient stochastic approximation EM algorithm using conditional particle filters (2013, methodology): “The methods are initialized uniformly at random, θ0 ∈ [1, 2].”
Filtering via approximate Bayesian computation (2010, positive): “Over the last decade there have been many computational advances to SMC (see Doucet and Johansen 2009 for a recent review) and a wide variety of convergence results have been established (Del Moral 2004).”
Particle gibbs with ancestor sampling (2014, methodology): “We start by reviewing a standard SMC sampler, which will be used to construct the PGAS algorithm in the consecutive section.”
Rethinking the Effective Sample Size (2018, methodology): “…is used mostly in algorithms with multiple proposals, as in adaptive importance sampling or sequential Monte Carlo methods (Djurić et al., 2003; Doucet & Johansen, 2008; Chen, 2003; Cappé et al., 2004; Doucet et al., 2001; Elvira et al., 2017; Gordon et al., 1993; Martino et al., 2017; Elvira…”
Etalumis: Bringing Probabilistic Programming to Scientific Simulators at Scale (2019, positive): “available in PPLs range from MCMC-based lightweight Metropolis Hastings (LMH) [74] and random-walk Metropolis Hastings (RMH) [46] algorithms to importance sampling (IS) [8] and sequential Monte Carlo [22]. Modern PPLs such as Pyro [11] and TensorFlow Probability [19, 70] use gradient-based inference”
Ecological non-linear state space model selection via adaptive particle Markov chain Monte Carlo (AdPMCMC) (2010, methodology): “For a recent review of SMC methodology, of which there are several different methodologies, see [Doucet and Johansen, 2009].”
On sequential Monte Carlo, partial rejection control and approximate Bayesian computation (2008, positive): “…involves three stages: mutation , whereby the particles are moved from x t − 1 to x t via a mutation kernel M t ( x t − 1 , x t ) as described below (Doucet and Johansen 2009; Del Moral et al. 2006); correction , where the particles are reweighted with respect to π t via the incremental…”
A Tutorial on Bernoulli Filters: Theory, Implementation and Applications (2013, background): “The resulting particle filters, due to their enormous popularity, have been reviewed in several books and tutorials [3]–[8].”