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2016

Multilevel Sequential Monte Carlo Samplers for Normalizing Constants

Del Moral, Pierre, Jasra, Ajay, Law, Kody et al.

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This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum models.

Therefore, the Monte Carlo estimation error and the discrete approximation error must be balanced.
A multilevel strategy is utilized to substantially reduce the cost to obtain a given error level in the approximation as compared to standard estimators.
Two estimators are considered and relative variance bounds are given.

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Walstrom
1967
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Wasserman
2000
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Heinrich
2001
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