Approximate Smoothing and Parameter Estimation in High-Dimensional State-Space Models

DOI10.1109/TSP.2017.2733504MaRDI QIDQ4621950zbMATH OpenFDO

Authors Axel Finke, Sumeetpal S. Singh

Publication date 8 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.08650

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We present approximate algorithms for performing smoothing in a class of high-dimensional state-space models via sequential Monte Carlo methods ("particle filters"). In high dimensions, a prohibitively large number of Monte Carlo samples ("particles") -- growing exponentially in the dimension of the state space -- is usually required to obtain a useful smoother. Using blocking strategies as in Rebeschini and Van Handel (2015) (and earlier pioneering work on blocking), we exploit the spatial ergodicity properties of the model to circumvent this curse of dimensionality. We thus obtain approximate smoothers that can be computed recursively in time and in parallel in space. First, we show that the bias of our blocked smoother is bounded uniformly in the time horizon and in the model dimension. We then approximate the blocked smoother with particles and derive the asymptotic variance of idealised versions of our blocked particle smoother to show that variance is no longer adversely effected by the dimension of the model. Finally, we employ our method to successfully perform maximum-likelihood estimation via stochastic gradient-ascent and stochastic expectation--maximisation algorithms in a 100-dimensional state-space model.

Cited in

(13)

• Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing
• A method for high-dimensional smoothing
• Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
• Smoothing and Interpolation with the State-Space Model
• A Recursive Recomputation Approach for Smoothing in Nonlinear State–Space Modeling: An Attempt for Reducing Space Complexity
• Approximate Inference in State-Space Models With Heavy-Tailed Noise
• scientific article; zbMATH DE number 7625157 (Why is no real title available?)
• Correction to “On Gaussian Optimal Smoothing of Nonlinear State Space Models” [Aug 10 1938-1941]
• Conditional sequential Monte Carlo in high dimensions
• A divide and conquer sequential Monte Carlo approach to high dimensional filtering
• An iterated block particle filter for inference on coupled dynamic systems with shared and unit-specific parameters
• A state-space perspective on modelling and inference for online skill rating
• Smoothing algorithms for state-space models

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