Mostrar el registro sencillo del ítem

A non asymptotic variance theorem for unnormalized Feynman-Kac particle models

hal.structure.identifierApplications of interacting particle systems to statistics [ASPI]
dc.contributor.authorCÉROU, Frédéric
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDEL MORAL, Pierre
hal.structure.identifierApplications of interacting particle systems to statistics [ASPI]
hal.structure.identifierInstitut de Recherche Mathématique de Rennes [IRMAR]
dc.contributor.authorGUYADER, Arnaud
dc.date.accessioned2024-04-04T02:45:10Z
dc.date.available2024-04-04T02:45:10Z
dc.date.issued2008
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/191443
dc.description.abstractEnWe present a non asymptotic 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 $\LL_2$-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 simulation of static Boltzmann-Gibbs measures and restricted distributions, with a special interest in rare event analysis.
dc.language.isoen
dc.title.enA non asymptotic variance theorem for unnormalized Feynman-Kac particle models
dc.typeRapport
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.type.institutionINRIA
bordeaux.type.reportrr
hal.identifierinria-00337392
hal.version1
hal.audienceNon spécifiée
hal.origin.linkhttps://hal.archives-ouvertes.fr//inria-00337392v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2008&rft.au=C%C3%89ROU,%20Fr%C3%A9d%C3%A9ric&DEL%20MORAL,%20Pierre&GUYADER,%20Arnaud&rft.genre=unknown


Archivos en el ítem

ArchivosTamañoFormatoVer

No hay archivos asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem