Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| hal.structure.identifier | National University of Singapore [NUS] | |
| dc.contributor.author | JASRA, Ajay | |
| hal.structure.identifier | Oak Ridge National Laboratory [Oak Ridge] [ORNL] | |
| dc.contributor.author | LAW, Kody J. H. | |
| dc.date.accessioned | 2024-04-04T03:07:17Z | |
| dc.date.available | 2024-04-04T03:07:17Z | |
| dc.date.issued | 2016-12-16 | |
| dc.identifier.issn | 0736-2994 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/193423 | |
| dc.description.abstractEn | In this article, we consider the multilevel sequential Monte Carlo (MLSMC) method of Beskos et al. (Stoch. Proc. Appl. [to appear]). This is a technique designed to approximate expectations w.r.t. probability laws associated to a discretization. For instance, in the context of inverse problems, where one discretizes the solution of a partial differential equation. The MLSMC approach is especially useful when independent, coupled sampling is not possible. Beskos et al. show that for MLSMC the computational effort to achieve a given error, can be less than independent sampling. In this article we significantly weaken the assumptions of Beskos et al., extending the proofs to non-compact state-spaces. The assumptions are based upon multiplicative drift conditions as in Kontoyiannis and Meyn (Electron. J. Probab. 10 [2005]: 61–123). The assumptions are verified for an example. | |
| dc.language.iso | en | |
| dc.publisher | Taylor & Francis: STM, Behavioural Science and Public Health Titles | |
| dc.title.en | Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1080/07362994.2016.1272421 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| bordeaux.journal | Stochastic Analysis and Applications | |
| bordeaux.page | 478 - 498 | |
| bordeaux.volume | 35 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.issue | 3 | |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01669155 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01669155v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic%20Analysis%20and%20Applications&rft.date=2016-12-16&rft.volume=35&rft.issue=3&rft.spage=478%20-%20498&rft.epage=478%20-%20498&rft.eissn=0736-2994&rft.issn=0736-2994&rft.au=DEL%20MORAL,%20Pierre&JASRA,%20Ajay&LAW,%20Kody%20J.%20H.&rft.genre=article |
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