Controlled sequential Monte Carlo
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state space modelsoptimal controlapproximate dynamic programmingreinforcement learningnormalizing constantsannealed importance sampling
Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Sequential estimation (62L12) Dynamic programming (90C39)
Abstract: Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in statistics and related fields; e.g. for inference in non-linear non-Gaussian state space models, and in complex static models. Like many Monte Carlo sampling schemes, they rely on proposal distributions which crucially impact their performance. We introduce here a class of controlled sequential Monte Carlo algorithms, where the proposal distributions are determined by approximating the solution to an associated optimal control problem using an iterative scheme. This method builds upon a number of existing algorithms in econometrics, physics, and statistics for inference in state space models, and generalizes these methods so as to accommodate complex static models. We provide a theoretical analysis concerning the fluctuation and stability of this methodology that also provides insight into the properties of related algorithms. We demonstrate significant gains over state-of-the-art methods at a fixed computational complexity on a variety of applications.
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Cited in
(18)- An Invitation to Sequential Monte Carlo Samplers
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