Publications

  1. Q. Du and A. Guyader, "Variance estimation of Adaptive Sequential Monte Carlo" (submitted), 2019. [pdf].

  2. Q. Du "On the variance of Lazy-jump Sequential Monte Carlo" (in preperation), 2019.

  3. Q. Du and T. Lelièvre, "Unbiased variance estimator for generalized adaptive multilevel splitting" (in preperation), 2019.

Talks in seminars

  1. Groupe de Travail des Thésards du LSTA, Paris, "Introduction to Feynman-Kac particle models", 2017.

  2. Working group of young researchers: statistical physics and interactions, Paris, "Genalogical tree-typed measures in Feynman-Kac models", 2017.

  3. RESIM 2018: 12th International Workshop on Rare-Event Simulation, Stockholm, "Variance estimation of Adaptive Multilevel Splitting", 2018.

  4. Young Researchers’ Meeting in Mathematical Statistics, Paris, "Variance estimation of Adaptive Multilevel Splitting", 2018.

  5. Groupe de Travail des Thésards du LPSM, Paris, "A brief introduction to Sequential Monte Carlo", 2018.

Posters

  1. Advances in Computational Statistical Physics, Luminy, "Variance estimation for generalized adaptive multilevel splitting ", 2018.

Participation to workshops/conferences

  1. Workshop: Simulation and probability: recent trends, Rennes, 2018.

  2. LPSM: Conférence de lancement, Paris, 2018.

Codes

  1. Static adaptive multilevel splitting rare-events toolkit. [Github]

  2. Implementation of generalized adaptive multilevel splitting, with variance estimation. [Github]

  3. Visulization of Feynman-Kac interacting particle systems. (Thanks to my wife @mydu for helping me with d3.js) [Github] [Viz]