Beskos, A; Crisan, D; Jasra, A; (2011) On the Stability of Sequential Monte Carlo Methods in High Dimensions.

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## Abstract

We investigate the stability of a Sequential Monte Carlo (SMC) method applied to the problem of sampling from a target distribution on $\mathbb{R}^d$ for large $d$. It is well known that using a single importance sampling step one produces an approximation for the target that deteriorates as the dimension $d$ increases, unless the number of Monte Carlo samples $N$ increases at an exponential rate in $d$. We show that this degeneracy can be avoided by introducing a sequence of artificial targets, starting from a `simple' density and moving to the one of interest, using an SMC method to sample from the sequence. Using this class of SMC methods with a fixed number of samples, one can produce an approximation for which the effective sample size (ESS) converges to a random variable $\varepsilon_N$ as $d\rightarrow\infty$ with $1<\varepsilon_{N}<N$. The convergence is achieved with a computational cost proportional to $Nd^2$. If $\varepsilon_N\ll N$, we can raise its value by introducing a number of resampling steps, say $m$ (where $m$ is independent of $d$). In this case, ESS converges to a random variable $\varepsilon_{N,m}$ as $d\rightarrow\infty$ and $\lim_{m\to\infty}\varepsilon_{N,m}=N$. Also, we show that the Monte Carlo error for estimating a fixed dimensional marginal expectation is of order $\frac{1}{\sqrt{N}}$ uniformly in $d$. The results imply that, in high dimensions, SMC algorithms can efficiently control the variability of the importance sampling weights and estimate fixed dimensional marginals at a cost which is less than exponential in $d$ and indicate that, in high dimensions, resampling leads to a reduction in the Monte Carlo error and increase in the ESS.

Type: | Article |
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Title: | On the Stability of Sequential Monte Carlo Methods in High Dimensions |

UCL classification: | UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science |

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