Stability properties of some particle filters

DOI10.1214/12-AAP909MaRDI QIDQ389073zbMATH OpenOpenAlexFDO

Authors 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

Markov chainsequential Monte Carlohidden Markov modelparticle filterstabilityapproximationfiltering

Mathematics Subject Classification ID

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) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Sensitivity (robustness) (93B35) Asymptotic stability in control theory (93D20) Estimation and detection in stochastic control theory (93E10)

Abstract: Under multiplicative drift and other regularity conditions, it is established that the asymptotic variance associated with a particle filter approximation of the prediction filter is bounded uniformly in time, and the nonasymptotic, relative variance associated with a particle approximation of the normalizing constant is bounded linearly in time. The conditions are demonstrated to hold for some hidden Markov models on noncompact state spaces. The particle stability results are obtained by proving $v$-norm multiplicative stability and exponential moment results for the underlying Feynman-Kac formulas.

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