Stability properties of some particle filters

DOI10.1214/12-AAP909zbMath1296.60098arXiv1109.6779OpenAlexW3101274747MaRDI QIDQ389073

Nick Whiteley

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.6779

zbMATH Keywords

stabilityhidden Markov modelapproximationMarkov chainfilteringsequential Monte Carloparticle filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Asymptotic stability in control theory (93D20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (29)

Fluctuations, stability and instability of a distributed particle filter with local exchange ⋮ A tutorial on particle filters ⋮ A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos ⋮ On the Behaviour of the Backward Interpretation of Feynman-Kac Formulae Under Verifiable Conditions ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Properties of marginal sequential Monte Carlo methods ⋮ Probing robustness of nonlinear filter stability numerically using sinkhorn divergence ⋮ On the stability of positive semigroups ⋮ An algorithm for approximating the second moment of the normalizing constant estimate from a particle filter ⋮ A new particle filter based on smooth variable structure filter ⋮ Coupled conditional backward sampling particle filter ⋮ Smoothing With Couplings of Conditional Particle Filters ⋮ Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions ⋮ Twisted particle filters ⋮ A note on random walks with absorbing barriers and sequential Monte Carlo methods ⋮ Bayesian model comparison with un-normalised likelihoods ⋮ Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter ⋮ Dimension-free Wasserstein contraction of nonlinear filters ⋮ Sequential Bayesian inference for implicit hidden Markov models and current limitations ⋮ Stability with respect to initial conditions in V-norm for nonlinear filters with ergodic observations ⋮ On the stability of sequential Monte Carlo methods in high dimensions ⋮ Path storage in the particle filter ⋮ On the role of interaction in sequential Monte Carlo algorithms ⋮ Forest resampling for distributed sequential Monte Carlo ⋮ Limit theorems for sequential MCMC methods ⋮ Central limit theorems for coupled particle filters ⋮ Uniform Stability of a Particle Approximation of the Optimal Filter Derivative ⋮ Stochastic Gradient MCMC for State Space Models ⋮ On particle methods for parameter estimation in state-space models

Cites Work

• Unnamed Item
• Unnamed Item
• On adaptive resampling strategies for sequential Monte Carlo methods
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
• Sequential Monte Carlo smoothing for general state space hidden Markov models
• A nonasymptotic theorem for unnormalized Feynman-Kac particle models
• On discrete time ergodic filters with wrong initial data
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• Forgetting the initial distribution for hidden Markov models
• Tree based functional expansions for Feynman--Kac particle models
• Uniform time average consistency of Monte Carlo particle filters
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Uniform approximations of discrete-time filters
• Filtering via Simulation: Auxiliary Particle Filters
• Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions
• On the asymptotic variance in the central limit theorem for particle filters
• A backward particle interpretation of Feynman-Kac formulae
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• On the stability of interacting processes with applications to filtering and genetic algorithms

This page was built for publication: Stability properties of some particle filters