Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions

DOI10.1080/07362994.2016.1272421zbMath1366.82048OpenAlexW2568188296MaRDI QIDQ2986699

Pierre Del Moral, Ajay Jasra, Kody J. H. Law

Publication date: 16 May 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://www.osti.gov/biblio/1361332

zbMATH Keywords

sequential Monte Carlomultilevel Monte Carlodrift conditions

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Numerical solutions to stochastic differential and integral equations (65C30) Limit theorems in probability theory (60F99)

Related Items (6)

Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals ⋮ Advanced Multilevel Monte Carlo Methods ⋮ Multilevel Monte Carlo in approximate Bayesian computation ⋮ Multilevel sequential Monte Carlo for Bayesian inverse problems ⋮ Unbiased estimation of the gradient of the log-likelihood in inverse problems ⋮ Central limit theorems for coupled particle filters

Cites Work

• Stability properties of some particle filters
• On adaptive resampling strategies for sequential Monte Carlo methods
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
• Multilevel sequential Monte Carlo samplers
• Monte Carlo complexity of global solution of integral equations
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Complexity analysis of accelerated MCMC methods for Bayesian inversion
• Multilevel Monte Carlo Path Simulation
• Sequential Monte Carlo Samplers
• Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions

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