Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Approximations of the Optimal Importance Density using Gaussian Particle
  Flow Importance Sampling   Recently developed particle flow algorithms provide an alternative to
importance sampling for drawing particles from a posterior distribution, and a
number of particle filters based on this principle have been proposed. Samples
are drawn from the prior and then moved according to some dynamics over an
interval of pseudo-time such that their final values are distributed according
to the desired posterior. In practice, implementing a particle flow sampler
requires multiple layers of approximation, with the result that the final
samples do not in general have the correct posterior distribution. In this
paper we consider using an approximate Gaussian flow for sampling with a class
of nonlinear Gaussian models. We use the particle flow within an importance
sampler, correcting for the discrepancy between the target and actual densities
with importance weights. We present a suitable numerical integration procedure
for use with this flow and an accompanying step-size control algorithm. In a
filtering context, we use the particle flow to sample from the optimal
importance density, rather than the filtering density itself, avoiding the need
to make analytical or numerical approximations of the predictive density.
Simulations using particle flow importance sampling within a particle filter
demonstrate significant improvement over standard approximations of the optimal
importance density, and the algorithm falls within the standard sequential
Monte Carlo framework.

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The categories of this paper are: astro-ph
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The categories of this paper are: math-ph
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The categories of this paper are: chem-ph
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The categories of this paper are: gr-qc
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The categories of this paper are: nucl-th
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The categories of this paper are: hep-ex
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The categories of this paper are: mtrl-th
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The categories of this paper are: patt-sol
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The categories of this paper are: nlin
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The categories of this paper are: comp-gas
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The categories of this paper are: acc-phys
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The categories of this paper are: hep-th
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The categories of this paper are: q-bio
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The categories of this paper are: ao-sci
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The categories of this paper are: adap-org
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The categories of this paper are: hep-lat