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Journal Articles ESAIM: Proceedings Year : 2007

Combined use of importance weights and resampling weights in sequential Monte Carlo methods

Abstract

A particle approximation of Feynman-Kac distributions is presented here, that combines SIS and SIR algorithms in the sense that only a part of the importance weights is used for resampling, and two different approaches are proposed to analyze its performance. The first approach is based on a representation in terms of path-space distributions, and could be used to analyze the joint particle approximation of distributions for a reference model and several alternate models at the same time. The second approach, which is of independent interest and seems very promising, is based on a representation in terms of a multiplicative functional, and could be used to analyze particle approximation with adaptive resampling schemes.

Dates and versions

hal-00912067 , version 1 (01-12-2013)

Identifiers

Cite

François Le Gland. Combined use of importance weights and resampling weights in sequential Monte Carlo methods. ESAIM: Proceedings, 2007, Conference Oxford sur les méthodes de Monte Carlo séquentielles, 19, pp.85-100. ⟨10.1051/proc:071912⟩. ⟨hal-00912067⟩
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