Papers › Convergence of Sequential Quasi-Monte Carlo Smoothing Algorithms
Convergence of Sequential Quasi-Monte Carlo Smoothing Algorithms
Mathieu Gerber, Nicolas Chopin
The archive published only this paper's code-link row. Authors, date and abstract are from arXiv's metadata (CC0), read from the Kaggle arXiv metadata snapshot of 2026-09-12 where its title matched the archive's; the title is the archive's.
Gerber and Chopin (2015) recently introduced Sequential quasi-Monte Carlo (SQMC) algorithms as an efficient way to perform filtering in state-space models. The basic idea is to replace random variables with low-discrepancy point sets, so as to obtain faster convergence than with standard particle filtering. Gerber and Chopin (2015) describe briefly several ways to extend SQMC to smoothing, but do not provide supporting theory for this extension. We discuss more thoroughly how smoothing may be performed within SQMC, and derive convergence results for the so-obtained smoothing algorithms. We consider in particular SQMC equivalents of forward smoothing and forward filtering backward sampling, which are the most well-known smoothing techniques. As a preliminary step, we provide a generalization of the classical result of Hlawka and M\"uck (1972) on the transformation of QMC point sets into low discrepancy point sets with respect to non uniform distributions. As a corollary of the latter, we note that we can slightly weaken the assumptions to prove the consistency of SQMC.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections