A nonasymptotic theorem for unnormalized Feynman-Kac particle models
CÉROU, Frédéric
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
DEL MORAL, Pierre
Advanced Learning Evolutionary Algorithms [ALEA]
Institut de Mathématiques de Bordeaux [IMB]
Centre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP]
Advanced Learning Evolutionary Algorithms [ALEA]
Institut de Mathématiques de Bordeaux [IMB]
Centre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP]
GUYADER, Arnaud
Applications of interacting particle systems to statistics [ASPI]
Département Mathématiques appliquées et sciences sociales - Rennes 2 [MASS]
Applications of interacting particle systems to statistics [ASPI]
Département Mathématiques appliquées et sciences sociales - Rennes 2 [MASS]
CÉROU, Frédéric
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
DEL MORAL, Pierre
Advanced Learning Evolutionary Algorithms [ALEA]
Institut de Mathématiques de Bordeaux [IMB]
Centre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP]
Advanced Learning Evolutionary Algorithms [ALEA]
Institut de Mathématiques de Bordeaux [IMB]
Centre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP]
GUYADER, Arnaud
Applications of interacting particle systems to statistics [ASPI]
Département Mathématiques appliquées et sciences sociales - Rennes 2 [MASS]
< Reduce
Applications of interacting particle systems to statistics [ASPI]
Département Mathématiques appliquées et sciences sociales - Rennes 2 [MASS]
Language
en
Article de revue
This item was published in
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques. 2011, vol. 47, n° 3, p. 629-649
Institut Henri Poincaré (IHP)
English Abstract
We present a nonasymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis-based on Feynman-Kac semigroup techniques combined with recently ...Read more >
We present a nonasymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis-based on Feynman-Kac semigroup techniques combined with recently developed coalescent tree-based functional representations of particle block distributions. We present some regularity conditions under which the L(2)-relative error of these weighted particle measures grows linearly with respect to the time horizon yielding what seems to be the first results of this type for this class of unnormalized models. We also illustrate these results in the context of particle absorption models, with a special interest in rare event analysis.Read less <
English Keywords
Interacting particle systems
Feynman-Kac semigroups
Nonasymptotic estimates
Genetic algorithms
Boltzmann-Gibbs measures
Monte Carlo models
Rare events
Origin
Hal imported