Multilevel Particle Filters
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Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stochastic particle methods (65C35)
Abstract: In this paper the filtering of partially observed diffusions, with discrete-time observations, is considered. It is assumed that only biased approximations of the diffusion can be obtained, for choice of an accuracy parameter indexed by . A multilevel estimator is proposed, consisting of a telescopic sum of increment estimators associated to the successive levels. The work associated to mean-square error between the multilevel estimator and average with respect to the filtering distribution is shown to scale optimally, for example as for optimal rates of convergence of the underlying diffusion approximation. The method is illustrated on some toy examples as well as estimation of interest rate based on real S&P 500 stock price data.
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Cited in
(59)- Antithetic multilevel methods for elliptic and hypoelliptic diffusions with applications
- Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
- Unbiased inference for discretely observed hidden Markov model diffusions
- A spatial-domain multiresolutional particle filter with thresholded wavelets
- Unbiased filtering of a class of partially observed diffusions
- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- A Wasserstein coupled particle filter for multilevel estimation
- Accuracy of some approximate Gaussian filters for the Navier-Stokes equation in the presence of model error
- On Large Lag Smoothing for Hidden Markov Models
- Unbiased estimation using a class of diffusion processes
- Analysis of nested multilevel Monte Carlo using approximate normal random variables
- Markov chain simulation for multilevel Monte Carlo
- Multilevel particle filters for a class of partially observed piecewise deterministic Markov processes
- Particle Filters for Multiscale Diffusions
- Unbiased parameter inference for a class of partially observed Lévy-process models
- Calculating Bayesian model evidence for porous-media flow using a multilevel estimator
- Multilevel particle filters for Lévy-driven stochastic differential equations
- Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
- A seamless multilevel ensemble transform particle filter
- Kernel learning backward SDE filter for data assimilation
- Multi-level data assimilation for ocean forecasting using the shallow-water equations
- Multilevel ensemble Kalman filtering for spatio-temporal processes
- Antithetic multilevel particle filters
- Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
- Multilevel particle filters for the non-linear filtering problem in continuous time
- Multi-index ensemble Kalman filtering
- Adaptive importance sampling for multilevel Monte Carlo Euler method
- On backward smoothing algorithms
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- Central limit theorems for coupled particle filters
- Unbiased parameter estimation for partially observed diffusions
- A multi-fidelity ensemble Kalman filter with hyperreduced reduced-order models
- Multilevel ensemble Kalman filtering
- Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings
- Multilevel Markov Chain Monte Carlo
- Sequential discretization schemes for a class of stochastic differential equations and their application to Bayesian filtering
- A Defensive Marginal Particle Filtering Method for Data Assimilation
- Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
- Bayesian parameter inference for partially observed stochastic volterra equations
- Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
- Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
- Multilevel ensemble transform particle filtering
- On Unbiased Estimation for Discretized Models
- Multilevel Particle Filters
- On coupling particle filter trajectories
- Advanced Multilevel Monte Carlo Methods
- Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
- Multilevel particle filters: normalizing constant estimation
- Multilevel Monte Carlo in approximate Bayesian computation
- Multilevel ensemble Kalman-Bucy filters
- A multilevel approach for stochastic nonlinear optimal control
- Smoothing with couplings of conditional particle filters
- Bayesian deep learning with multilevel trace-class neural networks
- Central limit theorems for multilevel Monte Carlo methods
- Multilevel Monte Carlo for smoothing via transport methods
- Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization
- Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
- Multilevel sequential Monte Carlo samplers
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
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