Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions
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Publication:4648510
DOI10.1080/07362994.2012.684323zbMATH Open1253.82077arXiv1103.3970OpenAlexW1976568002MaRDI QIDQ4648510FDOQ4648510
Authors: Nick Whiteley 
Publication date: 9 November 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Abstract: This paper addresses finite sample stability properties of sequential Monte Carlo methods for approximating sequences of probability distributions. The results presented herein are applicable in the scenario where the start and end distributions in the sequence are fixed and the number of intermediate steps is a parameter of the algorithm. Under assumptions which hold on non-compact spaces, it is shown that the effect of the initial distribution decays exponentially fast in the number of intermediate steps and the corresponding stochastic error is stable in mathbb{L}_{p} norm.
Full work available at URL: https://arxiv.org/abs/1103.3970
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Cited In (19)
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- Finite-sample complexity of sequential Monte Carlo estimators
- Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
- Sequential Bayesian inference for implicit hidden Markov models and current limitations
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