DEL MORAL, Pierre; MOULINES, Eric; OLSSON, Jimmy; VERGÉ, Christelle

doi:10.1287/15-SSY190

Métadonnées

Afficher la notice complète

Licence d’utilisation du document

DEL MORAL, Pierre
Quality control and dynamic reliability [CQFD]

MOULINES, Eric
Laboratoire Traitement et Communication de l'Information [LTCI]

OLSSON, Jimmy
Center for Mathematical Sciences [CMS]

Langue

Article de revue

Ce document a été publié dans

Stochastic Systems. 2016-12, vol. 6, n° 2, p. 367 - 419

INFORMS Applied Probability Society

Résumé en anglais

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.< Réduire

Métadonnées

Licence d’utilisation du document

Convergence Properties of Weighted Particle Islands with Application to the Double Bootstrap Algorithm

Langue

Ce document a été publié dans

Résumé en anglais

DOI

Origine

Unités de recherche