A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | ARNAUDON, Marc | |
| hal.structure.identifier | University of New South Wales [Sydney] [UNSW] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| dc.date.accessioned | 2024-04-04T02:52:01Z | |
| dc.date.available | 2024-04-04T02:52:01Z | |
| dc.date.issued | 2020 | |
| dc.identifier.issn | 1083-6489 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/192024 | |
| dc.description.abstractEn | Continuous time Feynman-Kac measures on path spaces are central in applied probability, partial differential equation theory, as well as in quantum physics. This article presents a new duality formula between normalized Feynman-Kac distribution and their mean field particle interpretations. Among others, this formula allows us to design a reversible particle Gibbs-Glauber sampler for continuous time Feynman-Kac integration on path spaces. This result extends the particle Gibbs samplers introduced by Andrieu-Doucet-Holenstein [2] in the context of discrete generation models to continuous time Feynman-Kac models and their interacting jump particle interpretations. We also provide new propagation of chaos estimates for continuous time genealogical tree based particle models with respect to the time horizon and the size of the systems. These results allow to obtain sharp quantitative estimates of the convergence rate to equilibrium of particle Gibbs-Glauber samplers. To the best of our knowledge these results are the first of this kind for continuous time Feynman-Kac measures. | |
| dc.language.iso | en | |
| dc.publisher | Institute of Mathematical Statistics (IMS) | |
| dc.subject.en | Dyson-Phillips expansions | |
| dc.subject.en | Propagation of chaos properties | |
| dc.subject.en | Gibb- Glauber dynamics | |
| dc.subject.en | Genealogical trees | |
| dc.subject.en | Interacting particle systems | |
| dc.subject.en | Feynman-Kac formulae | |
| dc.subject.en | Ancestral lines | |
| dc.subject.en | Gibb-Glauber dynamics | |
| dc.subject.en | Contraction inequalities | |
| dc.title.en | A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1214/20-EJP546 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 1805.05044 | |
| bordeaux.journal | Electronic Journal of Probability | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01787257 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01787257v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Electronic%20Journal%20of%20Probability&rft.date=2020&rft.eissn=1083-6489&rft.issn=1083-6489&rft.au=ARNAUDON,%20Marc&DEL%20MORAL,%20Pierre&rft.genre=article |
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