ON THE CONVERGENCE OF ADAPTIVE SEQUENTIAL MONTE CARLO METHODS

• 成果类型: Article
• 署名作者: Beskos, Alexandros; Jasra, Ajay; Kantas, Nikolas; Thiery, Alexandre
• 署名单位: University of London; University College London; National University of Singapore; Imperial College London
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/15-AAP1113
• 发表日期: 2016
• 页码: 1111-1146
• 关键词: stability; THEOREM; models

摘要

In several implementations of Sequential Monte Carlo (SMC) methods it is natural and important, in terms of algorithmic efficiency, to exploit the information of the history of the samples to optimally tune their subsequent propagations. In this article we provide a carefully formulated asymptotic theory for a class of such adaptive SMC methods. The theoretical framework developed here will cover, under assumptions, several commonly used SMC algorithms [Chopin, Biometrika 89 (2002) 539-551; Jasra et al., Scand. J. Stat. 38 (2011) 1-22; Schafer and Chopin, Stat. Comput. 23 (2013) 163184]. There are only limited results about the theoretical underpinning of such adaptive methods: we will bridge this gap by providing a weak law of large numbers (WLLN) and a central limit theorem (CLT) for some of these algorithms. The latter seems to be the first result of its kind in the literature and provides a formal justification of algorithms used in many real data contexts [Jasra et al. (2011); Schafer and Chopin (2013)]. We establish that for a general class of adaptive SMC algorithms [Chopin (2002)], the asymptotic variance of the estimators from the adaptive SMC method is identical to a limiting SMC algorithm which uses ideal proposal kernels. Our results are supported by application on a complex high-dimensional posterior distribution associated with the Navier-Stokes model, where adapting high dimensional parameters of the proposal kernels is critical for the efficiency of the algorithm.