Does anybody know, can Sequential Monte Carlo be applied for multi-dimensional problems i.e. simulating more than 1 distribution like in hierarchical models? Maybe you know some following literature
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Here is a document which explain how the sequential monte carlo is generalized in multidimensional problems: http://zurich.disneyresearch.com/~wjarosz/publications/dissertation/appendixA.pdf
The method is the same but the number of simulation needed evolve as a power of the dimension. So you have to use some techniques (also presented in the previous document).
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$\begingroup$ That link no longer works. It can be found here now: cs.dartmouth.edu/~wjarosz/publications/dissertation $\endgroup$ Commented May 2, 2017 at 13:40