On 20 January 2021 Professor Nicolas Chopin will be offering a two-part lecture on Sequential Monte Carlo Samplers to the Compass Students.
The first part of the lecture will start with a brief introduction to sequential Monte Carlo (SMC) methods, a powerful set of tools for learning and prediction in Feynman-Kac models, a general class of models which notably encompasses state-space models. The second part of the lecture will focus on SMC samplers, a particular type of SMC algorithms which are not directly related to state-space models and which can be used, for instance, to approximate the posterior distribution in Bayesian statistical models.
Nicolas Chopin is Professor of Statistics at the ENSAE and authors of several major contributions in the methodology and theory of SMC algorithms. He has recently published a book on this topic.