A nonasymptotic theorem for unnormalized Feynman-Kac particle models (Q720734)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A nonasymptotic theorem for unnormalized Feynman-Kac particle models |
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A nonasymptotic theorem for unnormalized Feynman-Kac particle models (English)
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11 October 2011
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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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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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