Sampling Conditioned Diffusions

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details: , and : Sampling Conditioned Diffusions. Pages 159–186 in Trends in Stochastic Analysis, Cambridge University Press, vol. 353 of London Mathematical Society Lecture Note Series, 2009.
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keywords: MCMC methods, SPDEs

Abstract

For many practical problems it is useful to be able to sample conditioned diffusions on a computer (e.g. in filtering/smoothing to sample from the conditioned distribution of the unknown signal given the known observations). We present a recently developed, SPDE-based method to tackle this problem. The method is an infinite dimensional generalisation of the Langevin sampling technique.

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