A nonasymptotic theorem for unnormalized Feynman-Kac particle models
| hal.structure.identifier | Applications of interacting particle systems to statistics [ASPI] | |
| hal.structure.identifier | Institut de Recherche Mathématique de Rennes [IRMAR] | |
| dc.contributor.author | CÉROU, Frédéric | |
| hal.structure.identifier | Advanced Learning Evolutionary Algorithms [ALEA] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Centre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| hal.structure.identifier | Applications of interacting particle systems to statistics [ASPI] | |
| hal.structure.identifier | Département Mathématiques appliquées et sciences sociales - Rennes 2 [MASS] | |
| dc.contributor.author | GUYADER, Arnaud | |
| dc.date.issued | 2011 | |
| dc.identifier.issn | 0246-0203 | |
| dc.description.abstractEn | 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. | |
| dc.language.iso | en | |
| dc.publisher | Institut Henri Poincaré (IHP) | |
| dc.subject.en | Interacting particle systems | |
| dc.subject.en | Feynman-Kac semigroups | |
| dc.subject.en | Nonasymptotic estimates | |
| dc.subject.en | Genetic algorithms | |
| dc.subject.en | Boltzmann-Gibbs measures | |
| dc.subject.en | Monte Carlo models | |
| dc.subject.en | Rare events | |
| dc.title.en | A nonasymptotic theorem for unnormalized Feynman-Kac particle models | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1214/10-AIHP358 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| bordeaux.journal | Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques | |
| bordeaux.page | 629-649 | |
| bordeaux.volume | 47 | |
| bordeaux.issue | 3 | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-00688479 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00688479v1 | |
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