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Error Bounds and Normalizing Constants for Sequential Monte Carlo in High Dimensions

Beskos, A; Crisan, D; Jasra, A; Whiteley, N; (2011) Error Bounds and Normalizing Constants for Sequential Monte Carlo in High Dimensions.

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Abstract

In a recent paper Beskos et al (2011), the Sequential Monte Carlo (SMC) sampler introduced in Del Moral et al (2006), Neal (2001) has been shown to be asymptotically stable in the dimension of the state space d at a cost that is only polynomial in d, when N the number of Monte Carlo samples, is fixed. More precisely, it has been established that the effective sample size (ESS) of the ensuing (approximate) sample and the Monte Carlo error of fixed dimensional marginals will converge as $d$ grows, with a computational cost of $\mathcal{O}(Nd^2)$. In the present work, further results on SMC methods in high dimensions are provided as $d\to\infty$ and with $N$ fixed. We deduce an explicit bound on the Monte-Carlo error for estimates derived using the SMC sampler and the exact asymptotic relative $\mathbb{L}_2$-error of the estimate of the normalizing constant. We also establish marginal propagation of chaos properties of the algorithm. The accuracy in high-dimensions of some approximate SMC-based filtering schemes is also discussed.

Type:Article
Title:Error Bounds and Normalizing Constants for Sequential Monte Carlo in High Dimensions
UCL classification:UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science

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