Biljana Stojkova and David Campbel recently arXived a paper on the used of parallel simulated tempering for thermodynamic integration towards producing estimates of marginal likelihoods. Resulting into a rather unwieldy acronym of PT-STWNC for “Parallel Tempering – Simulated Tempering Without Normalizing Constants”. Remember that parallel tempering runs T chains in parallel for T different powers […]
Category: intractable constant
Bernoulli race particle filters
Sebastian Schmon, Arnaud Doucet and George Deligiannidis have recently arXived an AISTATS paper with the above nice title. The motivation for the extension is facing intractable particle weights for state space models, as for instance in discretised diffusions. In most cases, actually, the weight associated with the optimal forward proposal involves an intractable integral which […]