{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/automatic-rao-blackwellization-for-sequential","title":"Automatic Rao-Blackwellization for Sequential Monte Carlo with Belief Propagation","arxiv_id":"2312.09860","date":"2023-12-15","proceeding":null,"authors":["Waïss Azizian","Guillaume Baudart","Marc Lelarge"],"abstract":"Exact Bayesian inference on state-space models~(SSM) is in general untractable, and unfortunately, basic Sequential Monte Carlo~(SMC) methods do not yield correct approximations for complex models. In this paper, we propose a mixed inference algorithm that computes closed-form solutions using belief propagation as much as possible, and falls back to sampling-based SMC methods when exact computations fail. This algorithm thus implements automatic Rao-Blackwellization and is even exact for Gaussian tree models.","url_abs":"https://arxiv.org/abs/2312.09860v1","url_pdf":"https://arxiv.org/pdf/2312.09860v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"automatic-rao-blackwellization-for-sequential","repo_url":"https://github.com/wazizian/onlinesampling.jl","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":"bayesian-inference","task_name":"Bayesian Inference"},{"task_slug":"state-space-models","task_name":"State Space Models"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}