Kernel Sequential Monte Carlo

Heiko Strathmann, Brooks Paige, Dino Sejdinovic and I updated our draft on Kernel Sequential Monte Carlo (on the arxiv). Apart from locally adaptive covariance matrices for Gaussian proposals in various SMC algorithms, we also look at gradient emulators – both for targets that do not admit a first (gradient emulators) or even second derivative (locally adaptive covariance).
The emulators can be used in different ways, either as proposals for a MCMC rejuvenation step in SMC or as importance densities directly – for example in Population Monte Carlo.
We found especially the gradient emulator to be rather sensitive to the variance of the fit. Not Rao-Blackwellizing across importance densities used in a PMC iteration leads to gigantic estimated gradients and an exploding algorithm, while using a weighted streaming fit of the emulator with Rao-Blackwellization works just fine.
Plus we evaluate on the Stochastic volatility target from Nicolas SMC^2 paper, which is a much more nicer benchmark that what we had in the last draft (the plot being the targets marginals). Any feedback please send my way.

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