Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
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Publication:1950384
Markov processMarkov chain Monte Carlo methodFeynman-Kac formulaFokker-Planck equationspectral gapfunctional inequalitiesparticle systemsequential Monte Carlo method
Convergence of probability measures (60B10) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Interacting particle systems in time-dependent statistical mechanics (82C22) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Schrödinger and Feynman-Kac semigroups (47D08)
Abstract: We study approximations of evolving probability measures by an interacting particle system. The particle system dynamics is a combination of independent Markov chain moves and importance sampling/resampling steps. Under global regularity conditions, we derive non-asymptotic error bounds for the particle system approximation. In a few simple examples, including high dimensional product measures, bounds with explicit constants of feasible size are obtained. Our main motivation are applications to sequential MCMC methods for Monte Carlo integral estimation.
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