1An introduction to Sequential

I Initially designed for online inference in dynamical systems I Observations arrive sequentially and one needs to update the posterior distribution of hidden variables I Analytically tractable solutions are available for linear Gaussian models, but not for complex models I Examples: target tracking, time series analysis, computer vision I Increasingly used to perform inference for a wide range of applications, not just dynamical systems I Example: graphical models, population genetic,... I SMC methods are scalable, easy to implement and flexible