Pierre Del Moral

Mean Field Simulation for Monte Carlo Integration

• Broschiertes Buch

Produktbeschreibung

This book presents the first comprehensive and modern mathematical treatment of these mean field particle models, including refined convergence analysis on nonlinear Markov chain models. It also covers applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology.

Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 626
• Erscheinungstermin: 26. Oktober 2016
• Englisch
• Abmessung: 234mm x 156mm x 32mm
• Gewicht: 862g
• ISBN-13: 9781138198739
• ISBN-10: 1138198730
• Artikelnr.: 46956376

Autorenporträt

Pierre Del Moral is a professor in the School of Mathematics and Statistics at the University of New South Wales in Sydney, Australia.

Inhaltsangabe

Monte Carlo and Mean Field Models. Theory and Applications. Feynman-Kac
Models: Discrete Time Feynman-Kac Models. Four Equivalent Particle
Interpretations. Continuous Time Feynman-Kac Models. Nonlinear Evolutions
of Intensity Measures. Application Domains: Particle Absorption Models.
Signal Processing and Control Systems. Theoretical Aspects: Mean Field
Feynman-Kac Models. A General Class of Mean Field Models. Empirical
Processes. Feynman-Kac Semigroups. Intensity Measure Semigroups. Particle
Density Profiles. Genealogical Tree Models. Particle Normalizing Constants.
Backward Particle Markov Models. Bibliography. Index.