Long-term stability of sequential Monte Carlo methods under verifiable conditions

DOI10.1214/13-AAP962MaRDI QIDQ744372zbMATH OpenOpenAlexFDO

Authors Randal Douc, Eric Moulines, Jimmy Olsson

Publication date 25 September 2014

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.6898, https://projecteuclid.org/euclid.aoap/1403812361

zbMATH Keywords

asymptotic variancesequential Monte Carlo methodsgeneral hidden Markov modelsbootstrap particle filterlocal Doeblin conditiontime uniform convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Abstract: This paper discusses particle filtering in general hidden Markov models (HMMs) and presents novel theoretical results on the long-term stability of bootstrap-type particle filters. More specifically, we establish that the asymptotic variance of the Monte Carlo estimates produced by the bootstrap filter is uniformly bounded in time. On the contrary to most previous results of this type, which in general presuppose that the state space of the hidden state process is compact (an assumption that is rarely satisfied in practice), our very mild assumptions are satisfied for a large class of HMMs with possibly noncompact state space. In addition, we derive a similar time uniform bound on the asymptotic $mathsf{L}^p$ error. Importantly, our results hold for misspecified models; that is, we do not at all assume that the data entering into the particle filter originate from the model governing the dynamics of the particles or not even from an HMM.

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Cited in

(15)

• Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models
• On the convergence of adaptive sequential Monte Carlo methods
• Numerically stable online estimation of variance in particle filters
• Stability with respect to initial conditions in \(V\)-norm for nonlinear filters with ergodic observations
• Piecewise deterministic Markov processes for continuous-time Monte Carlo
• On the behaviour of the backward interpretation of Feynman-Kac formulae under verifiable conditions
• Twisted particle filters
• Error estimates on ergodic properties of discretized Feynman-Kac semigroups
• On the stability of positive semigroups
• A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
• Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
• Limit theorems for sequential MCMC methods
• Fluctuations, stability and instability of a distributed particle filter with local exchange
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Path storage in the particle filter

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