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Population Monte Carlo algorithms

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.

preprint2001arXivOpen access
Yukito Iba
cond-mat.stat-mechhep-latcond-mat.dis-nn
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Open access1 author3 topics
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Yukito Iba

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