Multilevel Sequential Monte Carlo Samplers for Normalizing Constants

DOI10.1145/3092841MaRDI QIDQ6173267zbMATH OpenFDO

Authors Pierre Del Moral, Ajay Jasra, K. J. H. Law, Yan Zhou

Publication date 21 July 2023

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.01136, https://www.research.manchester.ac.uk/portal/en/publications/multilevel-sequential-monte-carlo-samplers-for-normalizing-constants(ab1f8afa-9ea2-4813-a2fd-e190b0768bdd).html

zbMATH Keywords

Bayesian inverse problemsmultilevel Monte Carlosequential Monte Carlo

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05)

Abstract: This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum models. Therefore, the Monte Carlo estimation error and the discrete approximation error must be balanced. A multilevel strategy is utilized to substantially reduce the cost to obtain a given error level in the approximation as compared to standard estimators. Two estimators are considered and relative variance bounds are given. The theoretical results are numerically illustrated for the example of identifying a parametrized permeability in an elliptic equation given point-wise observations of the pressure.

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Cited in

(19)

• On coupling particle filter trajectories
• Normalizing constants of log-concave densities
• Multilevel ensemble Kalman filtering for spatio-temporal processes
• Markov chain simulation for multilevel Monte Carlo
• Multi-index ensemble Kalman filtering
• Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
• Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions
• Multilevel sequential Monte Carlo with dimension-independent likelihood-informed proposals
• Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
• Analysis of a multilevel Markov chain Monte Carlo finite element method for Bayesian inversion of log-normal diffusions
• Multilevel Markov Chain Monte Carlo
• Multilevel sequential Monte Carlo samplers
• Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
• Advanced Multilevel Monte Carlo Methods
• A randomized multi-index sequential Monte Carlo method
• Calculating Bayesian model evidence for porous-media flow using a multilevel estimator
• Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
• Multilevel sequential Monte Carlo for Bayesian inverse problems
• A Multilevel Interacting Particle System Method for the estimation of Failure Probabilities

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