Multilevel sequential Monte Carlo samplers
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Publication:529423
DOI10.1016/J.SPA.2016.08.004zbMATH Open1362.65010arXiv1503.07259OpenAlexW2275145915MaRDI QIDQ529423FDOQ529423
Authors: Alexandros Beskos, Ajay Jasra, K. J. H. Law, R. Tempone, Yan Zhou 
Publication date: 18 May 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: In this article we consider the approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs); this scenario appears routinely in Bayesian inverse problems. In practice, one often has to solve the associated PDE numerically, using, for instance finite element methods and leading to a discretisation bias, with the step-size level . In addition, the expectation cannot be computed analytically and one often resorts to Monte Carlo methods. In the context of this problem, it is known that the introduction of the multilevel Monte Carlo (MLMC) method can reduce the amount of computational effort to estimate expectations, for a given level of error. This is achieved via a telescoping identity associated to a Monte Carlo approximation of a sequence of probability distributions with discretisation levels . In many practical problems of interest, one cannot achieve an i.i.d. sampling of the associated sequence of probability distributions. A sequential Monte Carlo (SMC) version of the MLMC method is introduced to deal with this problem. It is shown that under appropriate assumptions, the attractive property of a reduction of the amount of computational effort to estimate expectations, for a given level of error, can be maintained within the SMC context.
Full work available at URL: https://arxiv.org/abs/1503.07259
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