Convergence Properties of Weighted Particle Islands with Application to the Double Bootstrap Algorithm
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| hal.structure.identifier | Laboratoire Traitement et Communication de l'Information [LTCI] | |
| dc.contributor.author | MOULINES, Eric | |
| hal.structure.identifier | Center for Mathematical Sciences [CMS] | |
| dc.contributor.author | OLSSON, Jimmy | |
| hal.structure.identifier | Centre National d'Études Spatiales [Toulouse] [CNES] | |
| hal.structure.identifier | ONERA - The French Aerospace Lab [Palaiseau] | |
| dc.contributor.author | VERGÉ, Christelle | |
| dc.date.issued | 2016-12 | |
| dc.identifier.issn | 1946-5238 | |
| dc.description.abstractEn | Particle island models [32] provide a means of parallelization of sequential Monte Carlo methods, and in this paper we present novel convergence results for algorithms of this sort. In particular we establish a central limit theorem—as the number of islands and the common size of the islands tend jointly to infinity—of the double boot-strap algorithm with possibly adaptive selection on the island level. For this purpose we introduce a notion of archipelagos of weighted islands and find conditions under which a set of convergence properties are preserved by different operations on such archipelagos. This theory allows arbitrary compositions of these operations to be straightforwardly analyzed, providing a very flexible framework covering the double bootstrap algorithm as a special case. Finally, we establish the long-term numerical stability of the double bootstrap algorithm by bounding its asymptotic variance under weak and easily checked assumptions satisfied typically for models with non-compact state space. | |
| dc.language.iso | en | |
| dc.publisher | INFORMS Applied Probability Society | |
| dc.title.en | Convergence Properties of Weighted Particle Islands with Application to the Double Bootstrap Algorithm | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1287/15-SSY190 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 1410.4231 | |
| bordeaux.journal | Stochastic Systems | |
| bordeaux.page | 367 - 419 | |
| bordeaux.volume | 6 | |
| bordeaux.issue | 2 | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01593885 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01593885v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic%20Systems&rft.date=2016-12&rft.volume=6&rft.issue=2&rft.spage=367%20-%20419&rft.epage=367%20-%20419&rft.eissn=1946-5238&rft.issn=1946-5238&rft.au=DEL%20MORAL,%20Pierre&MOULINES,%20Eric&OLSSON,%20Jimmy&VERG%C3%89,%20Christelle&rft.genre=article |
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