Multilevel particle filters: normalizing constant estimation

DOI10.1007/S11222-016-9715-5zbMATH Open1384.65001arXiv1605.04963OpenAlexW2400963145MaRDI QIDQ1702280FDOQ1702280

Authors: Ajay Jasra, Kengo Kamatani, Prince Peprah Osei, Yan Zhou 

Publication date: 28 February 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: In this article we introduce two new estimates of the normalizing constant (or marginal likelihood) for partially observed diffusion (POD) processes, with discrete observations. One estimate is biased but non-negative and the other is unbiased but not almost surely non-negative. Our method uses the multilevel particle filter of Jasra et al (2015). We show that, under assumptions, for Euler discretized PODs and a given $varepsilon>0$. in order to obtain a mean square error (MSE) of $mathcalO(varepsilo{n}^2)$ one requires a work of $mathcalO(varepsilo{n}^{-2.5})$ for our new estimates versus a standard particle filter that requires a work of $mathcalO(varepsilo{n}^{-3})$. Our theoretical results are supported by numerical simulations.

Full work available at URL: https://arxiv.org/abs/1605.04963

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zbMATH Keywords

particle filterfilteringmultilevel Monte Carlodiffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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Cited In (18)

• A Wasserstein coupled particle filter for multilevel estimation
• Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
• Multilevel particle filters for a class of partially observed piecewise deterministic Markov processes
• Normalizing constants of log-concave densities
• Calculating Bayesian model evidence for porous-media flow using a multilevel estimator
• Multilevel particle filters for Lévy-driven stochastic differential equations
• Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
• Multilevel particle filters for the non-linear filtering problem in continuous time
• Central limit theorems for coupled particle filters
• Unbiased estimation of the solution to Zakai's equation
• Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
• Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
• Multilevel Particle Filters
• Advanced Multilevel Monte Carlo Methods
• On coupling particle filter trajectories
• An algorithm for approximating the second moment of the normalizing constant estimate from a particle filter
• Multilevel Monte Carlo for smoothing via transport methods
• Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization

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