A nonasymptotic theorem for unnormalized Feynman-Kac particle models (Q720734): Difference between revisions

The Feynman-Kac model defines the distribution of the paths of a Markov process, weighted by the product of a given collection of nonnegative potential functions. The main result of the article is a nonasymptotic variance estimate of the relative error with a degeneracy degree which grows linearly with respect to time. The result is applied to rare events.

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zbMATH Keywords

interacting particle systems

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Feynman-Kac semigroups

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nonasymptotic estimates

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genetic algorithms

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Boltzmann-Gibbs measures

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Monte Carlo models

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rare events

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MaRDI publication profile

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cites work

Q3412801

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Adaptive Multilevel Splitting for Rare Event Analysis

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Splitting for rare event simulation: A large deviation approach to design and analysis

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Q4819702

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Sequential Monte Carlo Samplers

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Sharp Propagation of Chaos Estimates for Feynman–Kac Particle Models

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Tree based functional expansions for Feynman--Kac particle models

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Sequential Monte Carlo Methods in Practice

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A note on auxiliary particle filters

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RARE EVENT SIMULATION

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Identifiers

zbMATH Open document ID

1233.60047

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DOI

10.1214/10-AIHP358

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:720734

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-Frédéric Cérou
@@ Property / author: Frédéric Cérou / rank @@
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@@ Property / author @@
-Pierre Del Moral
@@ Property / author: Pierre Del Moral / rank @@
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@@ Property / author @@
-Arnaud Guyader
@@ Property / author: Arnaud Guyader / rank @@
-Normal rank
@@ Property / reviewed by @@
-Guy Jumaric
@@ Property / reviewed by: Guy Jumaric / rank @@
-Normal rank
@@ Property / author @@
+Frédéric Cérou
@@ Property / author: Frédéric Cérou / rank @@
+Normal rank
@@ Property / author @@
+Pierre Del Moral
@@ Property / author: Pierre Del Moral / rank @@
+Normal rank
@@ Property / author @@
+Arnaud Guyader
@@ Property / author: Arnaud Guyader / rank @@
+Normal rank
@@ Property / reviewed by @@
+Guy Jumaric
@@ Property / reviewed by: Guy Jumaric / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Q3412801
@@ Property / cites work: Q3412801 / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive Multilevel Splitting for Rare Event Analysis
+Normal rank
@@ Property / cites work @@
+Splitting for rare event simulation: A large deviation approach to design and analysis
+Normal rank
@@ Property / cites work @@
+Q4819702
@@ Property / cites work: Q4819702 / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Samplers
@@ Property / cites work: Sequential Monte Carlo Samplers / rank @@
+Normal rank
@@ Property / cites work @@
+Sharp Propagation of Chaos Estimates for Feynman–Kac Particle Models
+Normal rank
@@ Property / cites work @@
+Tree based functional expansions for Feynman--Kac particle models
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Methods in Practice
@@ Property / cites work: Sequential Monte Carlo Methods in Practice / rank @@
+Normal rank
@@ Property / cites work @@
+A note on auxiliary particle filters
@@ Property / cites work: A note on auxiliary particle filters / rank @@
+Normal rank
@@ Property / cites work @@
+RARE EVENT SIMULATION
@@ Property / cites work: RARE EVENT SIMULATION / rank @@
+Normal rank