A Note on Random Walks with Absorbing barriers and Sequential Monte Carlo Methods
Language
en
Rapport
This item was published in
2016-11-21
English Abstract
In this article we consider importance sampling (IS) and sequential Monte Carlo (SMC) methods in the context of 1-dimensional random walks with absorbing barriers. In particular, we develop a very precise variance analysis ...Read more >
In this article we consider importance sampling (IS) and sequential Monte Carlo (SMC) methods in the context of 1-dimensional random walks with absorbing barriers. In particular, we develop a very precise variance analysis for several IS and SMC procedures. We take advantage of some explicit spectral formulae available for these models to derive sharp and explicit estimates; this provides stability properties of the associated normalized Feynman-Kac semigroups. Our analysis allows one to compare the variance of SMC and IS techniques for these models. The work in this article, is one of the few to consider an in-depth analysis of an SMC method for a particular model-type as well as variance comparison of SMC algorithms.Read less <
English Keywords
Sequential Monte Carlo
Feynman-Kac semigroups
Random walks with absorbing barriers
quasi-invariant measures
Importance Sampling
Particle samplers
Origin
Hal imported