Here we talk about the context where SMC samplers might be applied and briefly introduce Importance Sampling.
The original SMC paper is here: http://www.cs.ubc.ca/labs/lci/papers/...
The paper we will end up discussing in later videos is here:
In this video we talk about resampling, and how it (probably!) leads to repeated samples in important areas of the target distribution.
Introducing the SMC sampler L-kernel.
In this video we start to derive an expression for the L-kernel that minimises the sample variance of the SMC sampler.
In video 5, we derive an expression for the L-kernel that minimises the sample variance of the SMC sampler.