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Bücher Englische Bücher Wissen & Bildung Naturwissenschaft, Medizin, Informatik, Technik Mathematik Wahrscheinlichkeitstheorie & Statistik An Introduction to Sequential Monte Carlo
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An Introduction to Sequential Monte Carlo
Nicolas Chopin (Gebundene Ausgabe, Englisch)
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Beschreibung
This book provides a general introduction to Sequential Monte Carlo (SMC) methods, also known as particle filters. These methods have become a staple for the sequential analysis of data in such diverse fields as signal processing, epidemiology, machine learning, population ecology, quantitative finance, and robotics. The coverage is comprehensive, ranging from the underlying theory to… computational implementation, methodology, and diverse applications in various areas of science. This is achieved by describing SMC algorithms as particular cases of a general framework, which involves concepts such as Feynman-Kac distributions, and tools such as importance sampling and resampling. This general framework is used consistently throughout the book. Extensive coverage is provided on sequential learning (filtering, smoothing) of state-space (hidden Markov) models, as this remains an important application of SMC methods. More recent applications, such as parameter estimation of these models (through e.g. particle Markov chain Monte Carlo techniques) and the simulation of challenging probability distributions (in e.g. Bayesian inference or rare-event problems), are also discussed. The book may be used either as a graduate text on Sequential Monte Carlo methods and state-space modeling, or as a general reference work on the area. Each chapter includes a set of exercises for self-study, a comprehensive bibliography, and a “Python corner,” which discusses the practical implementation of the methods covered. In addition, the book comes with an open source Python library, which implements all the algorithms described in the book, and contains all the programs that were used to perform the numerical experiments. Dieses Produkt haben wir gerade leider nicht auf Lager.
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Technische Daten
Erscheinungsdatum
02.10.2020
Sprache
Englisch
EAN
9783030478445
Herausgeber
Springer International Publishing
Serien- oder Bandtitel
Springer Series in Statistics
Sonderedition
Nein
Autor
Nicolas Chopin
Seitenanzahl
378
Auflage
1st edition 2020
Einbandart
Gebundene Ausgabe
Schlagwörter
Particle filter, Sequential Monte Carlo, Bayesian inference, Sequential learning, State-space models, Hidden Markov models, Feynman-Kac models, Markov chain Monte Carlo, data-driven science, modeling and theory building
Thema-Inhalt
PBT - Wahrscheinlichkeitsrechnung und Statistik
UN - Datenbanken
GPFC - Kybernetik und Systemtheorie
UFM - Mathematische und statistische Software
Höhe
235 mm
Breite
15.5 cm
Hersteller: Springer, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com, Springer Nature Customer Service Center GmbH
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