A. Doucet, N. De Freitas & N.J. Gordon (editors), Sequential Monte Carlo Methods in Practice, Springer-Verlag: New York, 2001.
Journal papers and book chapters
"An Online Expectation-Maximization Algorithm for Changepoint Models" (with S. Yildirim & S.S. Singh), J. Comp. Graph. Statist., accepted. PdfMatlab code
"Fluctuations of Interacting Markov Chain Monte Carlo Methods" (with B. Bercu & P. Del Moral), Stochastic Processes and Their Applications, vol. 122, no. 4, pp. 1304-1331, 2012. Pdf
"Efficient
Bayesian Inference for Multivariate Probit Models with Sparse
Inverse Correlation Matrices" (with A. Talhouk & K.P. Murphy), J. Comp. Graph. Statist., accepted. PdfMatlab code
"An Adaptive
Sequential Monte Carlo
Method for Approximate Bayesian Computation" (with P. Del
Moral & A. Jasra), Statist. Computing, accepted. PdfC code
"Bayesian Sparsity-Path-Analysis of Genetic Association Signal using Generalized t Priors" (with A. Lee, F. Caron & C.C. Holmes), Statistical Applications in Genetics and Molecular Biology, vol. 11, no. 2, 2012.Pdf
"On Adaptive Resampling
Strategies for Sequential Monte Carlo
Methods"(with P. Del Moral & A. Jasra), Bernoulli, vol. 18, no. 1, pp. 252-278, 2012. Pdf
"Efficient
Bayesian Inference for Generalized Bradley-Terry Models" (with F. Caron), J. Comp. Graph. Statist., vol. 21, no. 1, pp. 174-196, 2012. Pdf
"On-line Changepoint
Detection and Parameter Estimation with Application to Genomic data" (with F. Caron & R. Gottardo), Statist. Computing, vol. 22, no. 2, pp. 579-595, 2012. Pdf
"Particle Approximation of the Intensity Measures
of A Spatial Branching Point Process Arising in Multi-target Tracking" (with F. Caron, P. Del Moral & M. Pace), SIAM J. Control Optimization, vol. 49, no. 4, pp. 1766-1792, 2011. Pdf
Discussion of Riemannian
Manifold Langevin and Hamiltonian Monte Carlo Methods by M. Girolami et al. (with P. Jacob & A.M. Johansen), Journal Royal Statistical Society B, 73(2):162, 2011.
"On the Conditional Distributions of Spatial Point Processes" (with F. Caron, P. Del Moral & M. Pace), Advances in Applied Probability, vol. 43, no. 2, pp. 301-307, 2011. Pdf
"Particle Approximations of the Score and
Observed Information Matrix in State-Space Models with Application to
Parameter Estimation" (with G. Poyiadjis & S.S. Singh), Biometrika, vol. 98, no. 1, pp. 65-80, 2011. Pdf
"A Tutorial on Particle
Filtering and Smoothing: Fifteen years Later", (with A.M.
Johansen), in Handbook of Nonlinear
Filtering (eds. D. Crisan et B. Rozovsky), Oxford University
Press, 2011. Pdf
"On Nonlinear Markov chain Monte Carlo" (with C. Andrieu, A. Jasra & P. Del Moral), Bernoulli, vol. 17, no. 3, pp. 987-1014, 2011. Pdf
"Particle Markov chain Monte Carlo methods" (with C. Andrieu & R. Holenstein) (with discussion), Journal Royal Statistical Society B, vol. 72, no. 3, pp. 269-342, 2010. Pdf
"On
the Utility of Graphics Cards to Perform Massively Parallel
Implementation of Advanced Monte Carlo Methods" (with A. Lee, C. Yau,
M. Giles & C.C. Holmes), J. Comp. Graph. Statist., vol. 19, no. 4, pp. 769-789, 2010. PdfWebsite with GPU code
"A Backward Particle Interpretation of Feynman-Kac Formulae" (with P. Del
Moral & S.S. Singh), ESAIM: Math. Model. Num.
Analy., Special issue on Probabilistic Methods for PDEs, vol. 44, pp. 947-975, 2010. Pdf
"On Solving Integral Equations using Markov Chain Monte Carlo Methods "
(with A. M. Johansen & V. B. Tadić), Applied Math. Computation, vol. 216, no. 10, pp. 2869-2880, 2010. Pdf
"A
Bayesian Approach to Joint Tracking and Identification of Geometric
Shapes in Video Sequences" (with P. Minvielle, A. Marrs & S.
Maskell), Image and Vision Computing, vol. 28, pp. 111-123, 2010. Pdf
"A New Class of Interacting Markov chain Monte Carlo Methods" (with P. Del
Moral), Comptes rendus Acad. Sci. Math., vol. 348, pp. 79-83, 2010.
"Interacting Markov chain Monte Carlo Methods for Solving Nonlinear Measured-Valued Equations" (with P. Del Moral), Annals of Applied Probability, vol. 20, no. 2, pp. 593-639, 2010. Pdf
"Smoothing Algorithms for State-space Models" (with M. Briers
&
S. Maskell), Annals Institute Statistical Mathematics, vol. 62, no. 1, pp. 61-89, 2010. Pdf
"A
Boosting Approach to Structure Learning of High Dimensional Graphs with
and without Prior Knowledge" (S. Anjum & C.C. Holmes), Bioinformatics, vol. 25, no. 22, pp. 2929-2936, 2009. Pdf
"An Efficient Computational
Approach to Prior
Sensitivity and Cross-Validation" (with L. Bornn & R. Gottardo), Canadian Journal of Statistics, vol. 38, no. 1, pp. 47-64, 2010. Pdf
"Sequentially Interacting Markov chain Monte Carlo" (with A. Brockwell & P. Del Moral), Annals of Statistics, vol. 38, no. 6, pp. 3387-3411, 2010. Pdf
"A
Functional Central Limit Theorem for a Class of Interacting Markov
Chain Monte Carlo Methods" (with B. Bercu & P. Del Moral), Electronic Journal of Probability, vol. 73, pp. 2130-2355, 2009. Pdf
"Particle Markov chain Monte Carlo for Efficient Numerical Simulation" (with C. Andrieu & R. Holenstein), in Monte Carlo and Quasi Monte Carlo Methods, Lecture Notes in Statistics, Springer, pp. 45-60, 2009. PdfErratum
Discussion
of Tracking of multiple merging and splitting targets: A statistical
perspective by Storlie et al. (with B. Vo), Statistica Sinica.
"A Note on Auxiliary Particle Filters", (with A.M. Johansen), Statistics and Probability Letters,
vol. 78, pp. 1498-1504, 2008. Pdf
"Particle methods for Maximum
Likelihood Parameter Estimation in Latent Variable Models",
(with A. M. Johansen & M. Davy), Statistics and Computing, vol. 18, pp. 47-57, 2008. Pdf
"A Note on the Convergence of the
Equi-Energy Sampler", (with C. Andrieu, A. Jasra & P. Del Moral), Stochastic
Analysis and Applications, vol. 26, pp. 298-312, 2008. Pdf
"Sharp
Propagation of Chaos Estimates for Feynman-Kac Particle Models", (with
P. Del Moral & G.W. Peters), Teoriya
Veroyatnostei i ee Primeneniya,
vol. 51, no. 3, 2006. Reprinted in SIAM Theory
of Probability and Its Applications, vol. 51, no. 3, pp.
459-485, 2007 Pdf
"Simulation-Based Optimal Sensor
Scheduling with
Application to Observer Trajectory Planning", (with S.S. Singh et al.),
Automatica, vol. 43, no.
5, pp. 817-830, 2007. Pdf
"A Framework for Kernel-Based
Multi-Category
Classification", (with
S.I.
Hill), J. Artificial Intell. Res., vol. 30, pp. 525-564, 2007. Pdf
"Sequential
Monte Carlo for Bayesian Computation" with discussion, (with P. Del
Moral & A. Jasra), Bayesian
Statistics 8, Oxford University Press, 2006. Pdf
preliminary version here
"Sequential
Monte Carlo Samplers", (with P. Del Moral & A.
Jasra), J. Royal Statist. Soc. B, vol. 68, no. 3, pp. 411-436,
2006. PdfAdditional noteWebsite with C++ code
"Efficient
Block Sampling Strategies for Sequential Monte Carlo", (with M. Briers
& S. Senecal), J. Comp. Graph.
Statist., vol. 15, no. 3, pp. 693-711, 2006. Pdf preliminary
version
"Convergence
of the SMC Implementation of the PHD Filter", (with A. Johansen, S.S.
Singh & B. Vo), Methodology and Computing in Applied Probability,
vol. 8, no. 2, pp. 265-291, 2006. Pdf
Discussion
of Exact and Computationally Efficient
Likelihood
Estimation of Discretely Observed Diffusions by Beskos et al. (with M.
Rousset) J.
Royal Statist. Soc. B, 2006. Pdf
"Exponential Forgetting and Geometric Ergodicity in General
State-Space Models", (with V.B. Tadic), Stochastic Processes and Their Applications,
vol. 115, pp. 1408-1436, 2005. Pdf
"Sequential Monte Carlo methods for
Bayesian Multi-target filtering with Random Finite Sets", (with B. Vo
& S.S. Singh), IEEE Trans.
Aerospace Elec. Systems, vol. 41, pp. 1224-1245, 2005. Pdf
"Particle Motions in Absorbing Medium with Hard and Soft
Obstacles", (with
P. Del Moral), Stochastic Analysis and Applications, vol. 22,
no. 5, pp. 1175-1207, 2004. Pdf
"Computational Methods for and from Bayesian Analysis", (with C.
Andrieu
& C.P. Robert), Statistical Science, vol. 19, no. 1, 2004. Pdf
"Reversible Jump MCMC Strategies for Bayesian model selection in
Autoregressive Processes", (with J. Vermaak,
C.
Andrieu
& S.J. Godsill), J. Time Series Analysis, vol. 25, no. 6,
pp. 785-809, 2004. Pdf
"Monte Carlo Smoothing for Nonlinear Time Series", (with S.J.
Godsill
&
M. West), J. Amer. Stat. Assoc., vol. 99, no. 465, pp. 156-168,
2004.
Discussion on Efficient
Construction
of Reversible Jump MCMC Proposal Distributions by Brooks et al. (with
C. Andrieu) J.
Royal Statist. Soc. B, 2003.
"On a Class of Genealogical and Interacting Metropolis Models"
(with P.
Del Moral). Seminaire de Proba. XXXVII, Ed. J.
Azema, M. Emery, M. Ledoux & M. Yor, Lecture Notes in Mathematics,
Springer-Verlag Berlin, 2003. Pdf
"Efficient Particle Filtering for Jump Markov Systems -
Applications to
Time-Varying Autoregressions", (with C. Andrieu & M. Davy), IEEE
Trans. Signal Processing, vol. 51, no. 7, pp. 1762-1770, 2003 Pdf
"An Introduction to MCMC for Machine Learning", (with C. Andrieu,
N. de
Freitas & M.I. Jordan), Machine Learning, vol. 50, pp.
5-43,
2003, Pdf
"Parameter Estimation in General State-Space Models using
Particle
Methods"
(with V.B. Tadic), Ann. Inst. Stat. Math., vol. 55, no. 2, pp.
409-422,
2003. Read Biometrika 2010 Pdf instead.
"Particle Filtering for Partially Observed Gaussian State Space
Models",
(with C. Andrieu), J. Royal Statist. Soc. B,
vol.
64, no.4, pp. 827-836, 2002. Pdf
"Convergence of Simulated Annealing using Foster-Lyapunov
Criteria",
(with
C. Andrieu & L. Breyer), J. Applied Probability, vol.
38,
no. 4, pp. 975-994, 2001. Pdf
"Robust Full Bayesian Learning for Radial Basis Networks" (with
C.
Andrieu
and J.F.G. de Freitas), Neural Computation, vol. 13, pp.
2359-2407,
2001. Pdf
"An
Introduction to Monte Carlo methods for Bayesian data analysis", in A.
Wees and R.L. Smith (Eds.) (with C. Andrieu & W.J. Fitzgerald,) Nonlinear Dynamics and Statistics, Birkhauser, 2000.
"Marginal Maximum A Posteriori Estimation using MCMC" (with S.J.
Godsill
& C.P. Robert), Statistics and Computing, vol. 12, pp.
77-84,
2002. Pdf
"Particle methods for Bayesian modeling and enhancement of speech
signals",
(with J. Vermaak, C. Andrieu & S.J. Godsill), IEEE Trans. Speech
and Audio Proc., vol. 10, no. 3, pp. 173-185, 2002.Pdf
"A Survey of Convergence Results on Particle Filtering for
Practitioners",
(with D. Crisan), IEEE Trans. Signal Processing, vol. 50, no.
3,
pp. 736-746, 2002. Pdf
"Bayesian Curve Fitting with Applications to Signal
Segmentation",
(with
E. Punskaya, C. Andrieu & W.J. Fitzgerald), IEEE Trans. Signal
Processing,
vol. 50, no. 3, pp. 747-758, 2002. Pdf
"Iterative Algorithms for State Estimation of Jump Markov Linear
Systems"
(with C. Andrieu), IEEE Trans. Signal Processing, vol. 49, no.
6,
pp. 1216-1227, 2001. Pdf
"Particle Filters for State Estimation of Jump Markov Linear
Systems"
(with
N.J. Gordon and V. Krishnamurthy), IEEE Trans. Signal Processing,
vol. 49, no.3, pp. 613-624, 2001. Pdf
"Maximum a Posteriori Sequence Estimation via Monte Carlo
Particle Methods" (with S.J. Godsill & M. West), Ann. Inst. Stat. Math. vol. 53, no.
1, pp. 82-96, 2001.
"Optimal Estimation and Cramer-Rao Bounds for Partial
Non-Gaussian
State-Space Models" (with N. Bergman & N.J. Gordon), Ann. Inst.
Stat. Math., vol. 52, no. 1, pp. 97-112, 2001. Pdf
"An Introduction to Sequential Monte Carlo Methods" (with J.F.G.
de
Freitas
& N.J. Gordon) in Sequential Monte Carlo Methods in Practice, New
York: Springer-Verlag, January 2001. Pdf
"Sequential Monte Carlo Methods for Optimal Filtering" (with C.
Andrieu
& E. Punskaya) in Sequential Monte Carlo Methods in
Practice, New
York: Springer-Verlag, January 2001.
"On Sequential Monte Carlo Sampling Methods for Bayesian
Filtering"
(with
S.J. Godsill & C. Andrieu), Statistics and Computing, vol.
10,
no. 3, pp. 197-208, 2000.Pdf (journal paper version of TR310 "On sequential
simulation-based
methods for Bayesian filtering" Pdf) This paper
is a fast
breaking
paper and has been reprinted in A. Harvey & T. Proietti (eds), Readings in Unobserved Components Models, Series
Advanced Texts in Econometrics, Oxford University Press, 2005.
"Bayesian Deconvolution of Noisy Filtered Point Processes" (with
C.
Andrieu
& E. Barat), IEEE Trans. Signal Processing, vol. 49, no. 1,
pp. 134-146, 2001. Pdf
"Simulated Annealing for Maximum A Posteriori Parameter
Estimation of
Hidden
Markov Models" (with C. Andrieu), IEEE Trans. Information Theory,
vol. 46, no. 3, pp. 994-1004, 2000.
"Simulation-Based Methods for Blind Maximum-Likelihood Linear
System Identification", (with O. Cappe, E. Moulines & M. Lavielle), Signal Processing, vol. 73, no.
1-2, pp. 3-25, 1999.
"An Improved Method for Simulation of Real Stable ARMA(p,q)
processes" (with C. Andrieu), IEEE
Signal Proc. Letters, vol. 6, no.6, pp. 142-144, 1999.
"Joint Bayesian Detection and Estimation of Noisy Sinusoids via
Reversible
Jump MCMC" (with C. Andrieu), IEEE Trans. Signal Processing,
vol.
47, no. 10, pp. 2667-2676, 1999 Pdf
''Stochastic Sampling Algorithms for State Estimation of Jump
Markov
Linear
Systems'' (with A. Logothetis & V. Krishnamurthy), IEEE Trans.
Automatic
Control, vol. 45, no. 2, pp. 188-201, 2000. Pdf
In Conferences
"An
Overview of
Sequential Monte Carlo Methods for Parameter Estimation in General
State-Space Models" (N. Kantas, S.S. Singh and J.M. Maciejowski), Proceedings IFAC System Identification (SySid)
Meeting, 2009.
"Bayesian Nonparametric Models on Decomposable Graphs" (with F. Caron), Proc. NIPS, 2009.
"An Expectation Maximization Algorithm for Continuous
Markov Decision Processes with Arbitrary Rewards" (with M. Hoffman, N. De Freitas & J. Peters), Proc. AI-STATS, 2009.
"Sparse Bayesian Nonparametric Regression", (with F. Caron), Proc. ICML, 2008. Pdf
"Generalized Polya urn for
time-varying Dirichlet processes", (with F. Caron & M. Davy), Proc.
UAI, 2007Pdf
"Bayesian policy
learning with trans-dimensional MCMC", (with M. Hoffman, N. De Freitas
& A. Jasra), Proc. NIPS, 2007.
Pdf
"Fast Particle Smoothing: If I Had a Million
Particles", (with M. Klass et al.), Proc.
ICML, 2006 Pdf
"Sequential sampling for dynamic environment map
illumination", (with A.
Ghosh & W. Heidrich), Proc.
Eurographics
Symposium on
Rendering, 2006 Pdf
"Towards practical N^2
Monte Carlo: The marginal particle filter", (with M. Klaas & N. De
Freitas), Proc. UAI, 2005 Pdf
"Maintining Multimodality
through
Mixture
Tracking", (with J. Vermaak & P. Perez), Proc. ICCV, 2003Download
it here
"Sparse Bayesian Learning
for
Regression
and Classification using MCMC", (with S.S. Tham & R. Kitagari), Proc.
ICML, 2002.
"Sequential
Bayesian
Semi-Parametric
Binary Classification", (with C. Andrieu & N. de Freitas), Proc.
NIPS, 2001. Download
it here
"Reversible jump
simulated
annealing
for RBFs", (with C. Andrieu & N. de Freitas), Proc. UAI, 2000.
Download
it here
"Rao-Blackwellised
particle filtering for dynamic Bayesian networks", (with N. de Freitas,
K. Murphy & S. Russell), Proc. UAI,
2000. Download
it here
"The
Unscented
Particle
Filter", (with R van der Merwe, N. de Freitas & E Wan, ), Proc.
NIPS, 2000 Download
it here
"Sequential Monte Carlo
samplers for rare events", (with P. Del Moral & A.M. Johansen), Proc.
6th International
Workshop on Rare Event Simulation, 2006 Pdf
"Online simulation-based
methods for parameter estimation in non linear non Gaussian state-space
models", (with C. Andrieu & V.B. Tadic), Proc. IEEE CDC
(invited paper), 2005 Pdf
"Particle methods for
optimal filter derivative: Application to parameter estimation", (with
G. Poyadjis & S.S. Singh), Proc.
IEEE ICASSP (invited paper), 2005 Pdf
Extended version of this paper Maximum Likelihood Parameter
Estimation using Particle Methods, Joint
Statistical Meeting, Pdf
"MCMC data association for
target
tracking", (with N. Bergman), Proc.
IEEE ICASSP, 2000.Download
it here
"Sequential MCMC for
Bayesian
Model Selection", (with C. Andrieu & N. de Freitas, ) Proc.
IEEE HOS, 1999 (invited paper). Download
it here