Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods

DOI10.1007/S00440-012-0410-YzbMATH Open1282.65013arXiv1010.1696OpenAlexW2096753434MaRDI QIDQ1950384FDOQ1950384

Authors: Andreas Eberle, Carlo Marinelli 

Publication date: 13 May 2013

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1010.1696

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zbMATH Keywords

Markov processMarkov chain Monte Carlo methodFeynman-Kac formulaFokker-Planck equationspectral gapfunctional inequalitiesparticle systemsequential Monte Carlo method

Mathematics Subject Classification ID

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)

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Cited In (11)

• Finite-sample complexity of sequential Monte Carlo estimators
• Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
• \(L^p\) estimates for Feynman-Kac propagators with time-dependent reference measures
• Limit theorems for cloning algorithms
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• Inference for a class of partially observed point process models
• Error bounds for sequential Monte Carlo samplers for multimodal distributions
• Finite sample complexity of sequential Monte Carlo estimators on multimodal target distributions

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