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Mean Field Simulation for Monte Carlo Integration
Paperback
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Prob
General MathematicsProbability & Statistics
ISBN13: 9781138198739
Publisher: CRC Press
Published: Oct 26 2016
Pages: 626
Weight: 1.90
Height: 1.26 Width: 6.14 Depth: 9.21
Language: English
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.
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