4th October 2005 — Population Monte Carlo

Iain (and Maneesh?) will discuss methods calling themselves “Population Monte Carlo” and interplay between MCMC and importance sampling.

Population Monte Carlo, Olivier Cappé, Arnaud Guillin, Jean-Michel Marin and Christian P. Robert, Journal of Computational & Graphical Statistics, 13(4):907–929, 2004.

Also the last chapter of: Monte Carlo statistical methods, Robert, Christian P. and Casella, George, 2004.

An interesting, but separate, paper with the same name is this review: Population Monte Carlo algorithms, Yukito Iba, Transactions of the Japanese Society for Artificial Intelligence, arXiv:cond-mat/0008226 v2, 16(2):279–286, 2001.