On Large Lag Smoothing for Hidden Markov Models

DOI10.1137/18M1198004MaRDI QIDQ5203791zbMATH OpenOpenAlexWikidataFDO

Authors Jeremie Houssineau, Ajay Jasra, Sumeetpal S. Singh

Publication date 9 December 2019

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.07117

zbMATH Keywords

smoothingoptimal transportmultilevel Monte Carlo

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: In this article we consider the smoothing problem for hidden Markov models (HMM). Given a hidden Markov chain ${X_n}_{ngeq0}$ and observations ${Y_n}_{ngeq0}$, our objective is to compute $mathbbE[varphi(X_0,dots,X_k)|y_0,dots,y_n]$ for some real-valued, integrable functional $varphi$ and $k$ fixed, $klln$ and for some realisation $(y_0,dots,y_n)$ of $(Y_0,dots,Y_n)$. We introduce a novel application of the multilevel Monte Carlo (MLMC) method with a coupling based on the Knothe-Rosenblatt rearrangement. We prove that this method can approximate the afore-mentioned quantity with a mean square error (MSE) of $mathcalO(epsilo{n}^2)$, for arbitrary $epsilon>0$ with a cost of $mathcalO(epsilo{n}^{-2})$. This is in contrast to the same direct Monte Carlo method, which requires a cost of $mathcalO(nepsilo{n}^{-2})$ for the same MSE. The approach we suggest is, in general, not possible to implement, so the optimal transport methodology of cite{span} is used, which directly approximates our strategy. We show that our theoretical improvements are achieved, even under approximation, in several numerical examples.

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Cited in

(2)

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