Discussion of "Sequential Quasi-Monte-Carlo Sampling" by M. Gerber and N. Chopin

TL;DR

This paper discusses the potential integration of Quasi-Monte Carlo methods into Sequential Monte Carlo schemes, especially when dealing with intractable transition densities and pseudo-marginal approaches.

Contribution

It explores the feasibility and implications of embedding QMC techniques within SMC frameworks under challenging intractable density conditions.

Findings

QMC can potentially improve SMC efficiency.

Embedding QMC in SMC requires careful handling of intractable densities.

The paper highlights open questions for future research.

Abstract

In this comment we consider whether QMC methods can be further embedded within SMC schemes in settings in which the transition density of the latent process is intractable and pseudo-marginal methods are deployed.