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In this paper, we show how to use sequential Monte Carlo methods to compute expectations of functionals of diffusions at a given time and the gradients of these quantities w.r.t. the initial condition of the process. In some cases, via the exact simulation of the diffusion, there is no time discretization error, otherwise the methods use Euler discretization. We illustrate our approach on both high- and low-dimensional problems from optimal control and establish that our approach substantially outperforms standard Monte Carlo methods typically adopted in the literature. The methods developed here are appropriate for solving a certain class of partial differential equations as well as for option pricing and hedging. [ABSTRACT FROM AUTHOR]

Abstract   In this paper we present a review of population-based simulation for static inference problems. Such methods can be described as generating a collection of random variables {X n } n=1,…,N in parallel in order to simulate from some target density p (or potentially sequence of target densities). Population-based simulation is important as many challenging sampling problems in applied statistics cannot be dealt with successfully by conventional Markov chain Monte Carlo (MCMC) methods. We summarize population-based MCMC (Geyer, Computing Science and Statistics: The 23rd Symposium on the Interface, pp. 156–163, 1991; Liang and Wong, J. Am. Stat. Assoc. 96, 653–666, 2001) and sequential Monte Carlo samplers (SMC) (Del Moral, Doucet and Jasra, J. Roy. Stat. Soc. Ser. B 68, 411–436, 2006a), providing a comparison of the approaches. We give numerical examples from Bayesian mixture modelling (Richardson and Green, J. Roy. Stat. Soc. Ser. B 59, 731–792, 1997). [ABSTRACT FROM AUTHOR]

In this paper we develop a generalized statistical methodology for characterizing geochronological data, represented by a distribution of single mineral ages. The main characteristics of such data are the heterogeneity and error associated with its collection. The former property means that mixture models are often appropriate for their analysis, in order to identify discrete age components in the overall distribution. We demonstrate that current methods (e.g., Sambridge and Compston, 1994) for analyzing such problems are not always suitable due to the restriction of the class of component densities that may be fitted to the data. This is of importance, when modelling geochronological data, as it is often the case that skewed and heavy tailed distributions will fit the data well. We concentrate on developing (Bayesian) mixture models with flexibility in the class of component densities, using Markov chain Monte Carlo (MCMC) methods to fit the models. Our method allows us to use any component density to fit the data, as well as returning a probability distribution for the number of components. Furthermore, rather than dealing with the observed ages, as in previous approaches, we make the inferences of components from the “true” ages, i.e., the ages had we been able to observe them without measurement error. We demonstrate our approach on two data sets: uranium-lead (U-Pb) zircon ages from the Khorat basin of northern Thailand and the Carrickalinga Head formation of southern Australia. [ABSTRACT FROM AUTHOR]

We present an extension of population-based Markov chain Monte Carlo to the transdimensional case. A major challenge is that of simulating from high- and transdimensional target measures. In such cases, Markov chain Monte Carlo methods may not adequately traverse the support of the target; the simulation results will be unreliable. We develop population methods to deal with such problems, and give a result proving the uniform ergodicity of these population algorithms, under mild assumptions. This result is used to demonstrate the superiority, in terms of convergence rate, of a population transition kernel over a reversible jump sampler for a Bayesian variable selection problem. We also give an example of a population algorithm for a Bayesian multivariate mixture model with an unknown number of components. This is applied to gene expression data of 1000 data points in six dimensions and it is demonstrated that our algorithm outperforms some competing Markov chain samplers. In this example, we show how to combine the methods of parallel chains (Geyer, 1991), tempering (Geyer & Thompson, 1995), snooker algorithms (Gilks et al., 1994), constrained sampling and delayed rejection (Green & Mira, 2001). [ABSTRACT FROM AUTHOR]