On sequential Monte Carlo, partial rejection control and approximate Bayesian computation

We present a variant of the sequential Monte Carlo sampler by incorporating the partial rejection control mechanism of Liu (2001). We show that the resulting algorithm can be considered as a sequential Monte Carlo sampler with a modified mutation kernel. We prove that the new sampler can reduce the variance of the incremental importance weights when compared with standard sequential Monte Carlo samplers, and provide a central limit theorem. Finally, the sampler is adapted for application under the challenging approximate Bayesian computation modelling framework.