On the convergence of adaptive sequential Monte Carlo methods
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Abstract: In several implementations of Sequential Monte Carlo (SMC) methods it is natural, and important in terms of algorithmic efficiency, to exploit the information of the history of the samples to optimally tune their subsequent propagations. In this article we provide a carefully formulated asymptotic theory for a class of such emph{adaptive} SMC methods. The theoretical framework developed here will cover, under assumptions, several commonly used SMC algorithms. There are only limited results about the theoretical underpinning of such adaptive methods: we will bridge this gap by providing a weak law of large numbers (WLLN) and a central limit theorem (CLT) for some of these algorithms. The latter seems to be the first result of its kind in the literature and provides a formal justification of algorithms used in many real data context. We establish that for a general class of adaptive SMC algorithms the asymptotic variance of the estimators from the adaptive SMC method is emph{identical} to a so-called `perfect' SMC algorithm which uses ideal proposal kernels. Our results are supported by application on a complex high-dimensional posterior distribution associated with the Navier-Stokes model, where adapting high-dimensional parameters of the proposal kernels is critical for the efficiency of the algorithm.
The paper studies the consistency and fluctuation properties of a class of adaptive sequential Monte Carlo algorithms. A weak law of large numbers is established such that one can consistently approximate normalizing constants. Central limit theorems are proved to hold at the usual Monte Carlo rate and explicit recursion equations are given for the asymptotic variances. This implies that the fluctuation analysis of the limiting algorithm can be used to describe the asymptotic properties of the adaptive algorithm. The efficiency of the algorithm is illustrated by a numerical application with a complex high-dimensional posterior distribution associated with the Navier-Stokes model.
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