Mean Field Simulation for Monte Carlo Integration

By Pierre Del Moral

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 1138198730
• ISBN13: 9781138198739
• Release Date: October 2016
• Publisher: CRC Press
• Length: 626 Pages
• Weight: 1.90 lbs.
• Dimensions: 1.3" x 6.1" x 9.2"