# On the stability of sequential Monte Carlo methods in high dimensions

@article{Beskos2011OnTS, title={On the stability of sequential Monte Carlo methods in high dimensions}, author={Alexandros Beskos and Dan Crisan and Ajay Jasra}, journal={Annals of Applied Probability}, year={2011}, volume={24}, pages={1396-1445} }

We investigate the stability of a Sequential Monte Carlo (SMC) method applied to the problem of sampling from a target distribution on Rd for large d. It is well known [Bengtsson, Bickel and Li, In Probability and Statistics:
Essays in Honor of David A. Freedman, D. Nolan and T. Speed, eds. (2008) 316–334 IMS; see also Pushing the Limits of Contemporary Statistics (2008) 318–32 9 IMS, Mon. Weather Rev. (2009) 136 (2009) 4629–4640] that using a single importance sampling step, one produces an… Expand

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In a recent paper Beskos et al (2011), the Sequential Monte Carlo (SMC) sampler introduced in Del Moral et al (2006), Neal (2001) has been shown to be asymptotically stable in the dimension of the… Expand

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