Population Monte Carlo algorithms

Details Population Monte Carlo algorithms Population Monte Carlo algorithms

2000-08-16

arxiv.org/abs/cond-mat/0008226v2

Transactions of the Japanese Society for Artificial Intelligence Vol.16 No.2, pp.279-286

Physics

Condensed Matter

Statistical Mechanics

Title is changed (Population-based Monte Carlo -> Population Monte Carlo). A number of small but important corrections and add

Scientific paper

We give a cross-disciplinary survey on ``population'' Monte Carlo algorithms. In these algorithms, a set of ``walkers'' or ``particles'' is used as a representation of a high-dimensional vector. The computation is carried out by a random walk and split/deletion of these objects. The algorithms are developed in various fields in physics and statistical sciences and called by lots of different terms -- ``quantum Monte Carlo'', ``transfer-matrix Monte Carlo'', ``Monte Carlo filter (particle filter)'',``sequential Monte Carlo'' and ``PERM'' etc. Here we discuss them in a coherent framework. We also touch on related algorithms -- genetic algorithms and annealed importance sampling.

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