On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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2 results for “p-MCMC”

Efficient Learning of the Parameters of Non-Linear Models using Differentiable Resampling in Particle Filtersstat.ML

Improved particle filters for estimating model parameters using differentiable resampling.

problem Inability to differentiate sampling and resampling steps in particle filters.

method Extended reparameterisation trick to include stochastic input, enabling differentiation. Used p-MCMC and NUTS for parameter estimation.

result NUTS improves mixing of Markov chain and produces more accurate results in less time.

particle filters differentiable resampling p-MCMC NUTS Hamiltonian Monte Carlo

2021-11-02abs ↗pdf ↗

Hess-MC2: Sequential Monte Carlo Squared using Hessian Information and Second Order Proposalsstat.ML

Enhances SMC² with Hessian info for more efficient posterior approximation.

problem Improving accuracy and efficiency in Bayesian inference.

method Integrates second-order information (Hessian) into SMC²'s proposal distribution.

result Second-order proposals lead to more accurate posterior approximations and better step-size selection.

Bayesian inference Sequential Monte Carlo Hessian Metropolis-Adjusted Langevin Algorithm Second-order derivatives

2025-07-10abs ↗pdf ↗