On the convergence of adaptive sequential Monte Carlo methods
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Publication:292923
DOI10.1214/15-AAP1113zbMATH Open1342.82127arXiv1306.6462OpenAlexW2127792782MaRDI QIDQ292923FDOQ292923
Authors: Alexandros Beskos, Ajay Jasra, Nikolas Kantas, Alexandre Thiery 
Publication date: 9 June 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1306.6462
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Bayesian inference (62F15) Monte Carlo methods (65C05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Limit theorems in probability theory (60F99)
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