Automatically adapting the number of state particles in SMC^2

DOI10.1007/S11222-023-10250-2zbMATH Open1517.62008arXiv2201.11354OpenAlexW4378717157MaRDI QIDQ6173563FDOQ6173563

Authors: Robert Kohn, L. F. South, C. C. Drovandi 

Publication date: 21 July 2023

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: Sequential Monte Carlo squared (SMC${}^2$) methods can be used for parameter inference of intractable likelihood state-space models. These methods replace the likelihood with an unbiased particle filter estimator, similarly to particle Markov chain Monte Carlo (MCMC). As with particle MCMC, the efficiency of SMC${}^2$ greatly depends on the variance of the likelihood estimator, and therefore on the number of state particles used within the particle filter. We introduce novel methods to adaptively select the number of state particles within SMC${}^2$ using the expected squared jumping distance to trigger the adaptation, and modifying the exchange importance sampling method of citet{Chopin2012a} to replace the current set of state particles with the new set of state particles. The resulting algorithm is fully automatic, and can significantly improve current methods. Code for our methods is available at https://github.com/imkebotha/adaptive-exact-approximate-smc.

Full work available at URL: https://arxiv.org/abs/2201.11354

Recommendations

• \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models
• An adaptive sequential Monte Carlo sampler
• Efficient \(\mathrm{SMC}^2\) schemes for stochastic kinetic models
• Sequential Monte Carlo with Highly Informative Observations
• Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models

zbMATH Keywords

Bayesian inferencestate-space modelsparticle MCMCSMCpseudo-marginal

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

• Sequential Monte Carlo Samplers
• Variance estimation in the particle filter
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• The pseudo-marginal approach for efficient Monte Carlo computations
• A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology
• Inference in hidden Markov models.
• Particle Markov Chain Monte Carlo Methods
• Title not available (Why is that?)
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
• A sequential particle filter method for static models
• Stochastic differential equations. An introduction with applications.
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
• An adaptive sequential Monte Carlo sampler
• Nested particle filters for online parameter estimation in discrete-time state-space Markov models
• Particle methods for stochastic differential equation mixed effects models
• Adaptively scaling the Metropolis algorithm using expected squared jumped distance
• Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models
• Path storage in the particle filter
• On the performance of particle filters with adaptive number of particles
• Accelerating sequential Monte Carlo with surrogate likelihoods
• Adapting the Number of Particles in Sequential Monte Carlo Methods Through an Online Scheme for Convergence Assessment
• Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
• Ensemble MCMC: accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter

Cited In (1)

• Alive SMC\(^{2}\): Bayesian model selection for low-count time series models with intractable likelihoods

This page was built for publication: Automatically adapting the number of state particles in \(\text{SMC}^2\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6173563)