Sequential quasi Monte Carlo

• 成果类型: Review
• 署名作者: Gerber, Mathieu; Chopin, Nicolas
• 署名单位: University of Lausanne; Institut Polytechnique de Paris; ENSAE Paris; Institut Polytechnique de Paris; ENSAE Paris
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/rssb.12104
• 发表日期: 2015
• 页码: 509-579
• 关键词: CENTRAL-LIMIT-THEOREM; Particle filters; simulation; models; randomization; distributions; discrepancy; EFFICIENCY; variance; events

摘要

We derive and study sequential quasi Monte Carlo (SQMC), a class of algorithms obtained by introducing QMC point sets in particle filtering. SQMC is related to, and may be seen as an extension of, the array-RQMC algorithm of L'Ecuyer and his colleagues. The complexity of SQMC is O{Nlog(N)}, where N is the number of simulations at each iteration, and its error rate is smaller than the Monte Carlo rate OP(N-1/2). The only requirement to implement SQMC algorithms is the ability to write the simulation of particle x(t)(n) given xt(-1)(n) as a deterministic function of x(t-1)(n) and a fixed number of uniform variates. We show that SQMC is amenable to the same extensions as standard SMC, such as forward smoothing, backward smoothing and unbiased likelihood evaluation. In particular, SQMC may replace SMC within a particle Markov chain Monte Carlo algorithm. We establish several convergence results. We provide numerical evidence that SQMC may significantly outperform SMC in practical scenarios.