Central Limit Theorems for Coupled Particle Filters


Ajay Jasra (National University of Singapore)
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大阪大学 数理・データ科学セミナー データ科学セミナーシリーズ 第37回
Central Limit Theorems for Coupled Particle Filters

Ajay Jasra (National University of Singapore)

In this talk we give new central limit theorems (CLT) for coupled particle filters (CPFs). CPFs are used for the sequential estimation of the difference of expectations w.r.t. filters which are in some sense close. Examples include the estimation of the filtering distribution associated to different parameters (finite difference estimation) and filters associated to partially observed discretized diffusion processes (PODDP) and the implementation of the multilevel Monte Carlo (MLMC) identity. We develop new theory for CPFs and based upon several results, we propose a new CPF which approximates the maximal coupling (MCPF) of a pair of predictor distributions. In the context of ML estimation associated to PODDP with discretization $\Delta_l$ we show that the MCPF and the approach in Jasra et al (2018) have, under assumptions, an asymptotic variance that is upper-bounded by an expression that is (almost) $\mathcal{O}(\Delta_l)$, uniformly in time. The $\mathcal{O}(\Delta_l)$ rate preserves the so-called forward rate of the diffusion in some scenarios which is not the case for the CPF in Jasra et al (2017).

本発表はJST CREST JPMJCR14D7によってサポートされています.

講 師:
Ajay Jasra (National University of Singapore)
テーマ:
Central Limit Theorems for Coupled Particle Filters
日 時:
2018年11月20日(火)13:00-14:30
場 所:
大阪大学豊中キャンパス基礎工学研究科 J棟 J617号室
参加費:
無料
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http://www.es.osaka-u.ac.jp/ja/access.html
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