Work

A Note on Random Walks with Absorbing barriers and Sequential Monte Carlo Methods

Year: 2016

Type: preprint

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 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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1611.03177

Authors: Del Moral, Pierre, Jasra, Ajay

Institutions: Institut national de recherche en sciences et technologies du numérique, UNSW Sydney, Centre Inria de l'université de Bordeaux, National University of Singapore

Language: English

Topic: Markov Chains and Monte Carlo Methods

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

OpenAlex ID: W4291625352

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