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GIBBS FLOW FOR APPROXIMATE TRANSPORT WITH APPLICATIONS TO BAYESIAN COMPUTATION

[ARTICLE] This paper introduces a tractable approximation of a novel transport map that enhances sequential Monte Carlo samplers, showing significant performance gains at fixed computational complexity across various applications.

by Jeremy Heng (ESSEC Business School), Arnaud Doucet, Yvo Pokern

We show here how to build a tractable approximation of a novel transport map. Even when this ordinary differential equation is time‐discretised and the full conditional distributions are numerically approximated, the resulting distribution of mapped samples can be efficiently evaluated and used as a proposal within sequential Monte Carlo samplers. We demonstrate significant gains over state‐of‐the‐art sequential Monte Carlo samplers at a fixed computational complexity on a variety of applications.

[Please read the research paper here]

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