Year: 2024
Type: preprint
Abstract: The particle filter (PF), also known as sequential Monte Carlo (SMC), approximates high-dimensional probability distributions and their normalizing constants in the discrete-time setting. To reduce the variance of the Monte Carlo approximation, various twisted particle filters (TPFs) have been proposed, in which a twisting function is chosen or learned to modify the Markov transition kernel. Guided by existing control-based importance sampling algorithms in the continuous-time setting, we propose a novel algorithm called the ``Twisted-Path Particle Filter'' (TPPF), in which the twisting function is parameterized by a neural network and trained to minimize a specific KL-divergence between path measures. Numerical experiments illustrate the capability of the proposed algorithm.
Source: arXiv (Cornell University)
Authors: Lu, Jianfeng, Wang, Yuliang
Institutions: Duke University, Institute of Natural Science
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
Funder: National Science Foundation
OpenAlex ID: W4403160078