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2012

Perfect simulation for the Feynman-Kac law on the path space

Andrieu, Christophe, Chopin, Nicolas, Doucet, Arnaud et al.

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This paper describes an algorithm of interest.

This is a preliminary version and we intend on writing a better descripition of it and getting bounds for its complexity.

Perfect simulation for the Feynman-Kac law on the path space · Around

Built on

Exact sampling with coupled Markov chains and applications to statistical mechanics
James Gary Propp and David Bruce Wilson · 1996
Earlier work this paper cites.
Perfect simulation and backward coupling
S. G. Foss and R. L. Tweedie · 1998
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