A Wasserstein coupled particle filter for multilevel estimation

DOI10.1080/07362994.2022.2081181arXiv2004.03981OpenAlexW3015592047MaRDI QIDQ6073377FDOQ6073377

Ajay Jasra, Erik von Schwerin, R. Tempone, Marco Ballesio

Publication date: 17 October 2023

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Abstract: In this paper, we consider the filtering problem for partially observed diffusions, which are regularly observed at discrete times. We are concerned with the case when one must resort to time-discretization of the diffusion process if the transition density is not available in an appropriate form. In such cases, one must resort to advanced numerical algorithms such as particle filters to consistently estimate the filter. It is also well known that the particle filter can be enhanced by considering hierarchies of discretizations and the multilevel Monte Carlo (MLMC) method, in the sense of reducing the computational effort to achieve a given mean square error (MSE). A variety of multilevel particle filters (MLPF) have been suggested in the literature, e.g., in Jasra et al., SIAM J, Numer. Anal., 55, 3068--3096. Here we introduce a new alternative that involves a resampling step based on the optimal Wasserstein coupling. We prove a central limit theorem (CLT) for the new method. On considering the asymptotic variance, we establish that in some scenarios, there is a reduction, relative to the approach in the aforementioned paper by Jasra et al., in computational effort to achieve a given MSE. These findings are confirmed in numerical examples. We also consider filtering diffusions with unstable dynamics; we empirically show that in such cases a change of measure technique seems to be required to maintain our findings.

Full work available at URL: https://arxiv.org/abs/2004.03981

zbMATH Keywords

filteringmultilevel Monte Carloparticle filtersdiffusions

Mathematics Subject Classification ID

Statistics (62-XX) Systems theory; control (93-XX)

Cites Work

• Inference in hidden Markov models.
• Title not available (Why is that?)
• Title not available (Why is that?)
• On particle methods for parameter estimation in state-space models
• Multilevel Monte Carlo Path Simulation
• On adaptive resampling strategies for sequential Monte Carlo methods
• Title not available (Why is that?)
• The Monte-Carlo method for filtering with discrete-time observations
• Particle Filters for Partially Observed Diffusions
• Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo
• Multilevel Particle Filters
• Multilevel sequential Monte Carlo samplers
• On multidimensional curves with Hilbert property
• Multilevel particle filters: normalizing constant estimation
• Multilevel ensemble transform particle filtering
• On coupling particle filter trajectories
• Central limit theorems for coupled particle filters
• Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
• Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• Multilevel Monte Carlo for Smoothing via Transport Methods

Cited In (4)

• A spatial-domain multiresolutional particle filter with thresholded wavelets
• Multilevel particle filters for the non-linear filtering problem in continuous time
• Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
• Multilevel Particle Filters

This page was built for publication: A Wasserstein coupled particle filter for multilevel estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6073377)