Without-replacement sampling for particle methods on finite state spaces |
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Authors: | Rohan Shah Dirk P. Kroese |
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Affiliation: | 1.School of Mathematics and Physics,The University of Queensland,Brisbane,Australia |
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Abstract: | Combinatorial estimation is a new area of application for sequential Monte Carlo methods. We use ideas from sampling theory to introduce new without-replacement sampling methods in such discrete settings. These without-replacement sampling methods allow the addition of merging steps, which can significantly improve the resulting estimators. We give examples showing the use of the proposed methods in combinatorial rare-event probability estimation and in discrete state-space models. |
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