Error bounds and normalising constants for sequential monte carlo samplers in high dimensions

Alexandros Beskos, Dan O. Crisan, Ajay Jasra, Nick Whiteley

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23 Scopus citations


In this paper we develop a collection of results associated to the analysis of the sequential Monte Carlo (SMC) samplers algorithm, in the context of high-dimensional independent and identically distributed target probabilities. TheSMCsamplers algorithm can be designed to sample from a single probability distribution, using Monte Carlo to approximate expectations with respect to this law. Given a target density in d dimensions our results are concerned with d while the number of Monte Carlo samples, N, remains fixed. We deduce an explicit bound on the Monte-Carlo error for estimates derived using theSMCsampler and the exact asymptotic relative L2-error of the estimate of the normalising constant associated to the target. We also establish marginal propagation of chaos properties of the algorithm. These results are deduced when the cost of the algorithm is O(Nd2). © Applied Probability Trust 2014.
Original languageEnglish (US)
JournalAdvances in Applied Probability
Issue number1
StatePublished - Jan 1 2014
Externally publishedYes

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Generated from Scopus record by KAUST IRTS on 2019-11-20


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