On parallel implementation of sequential Monte Carlo methods: the island particle model
From MaRDI portal
Publication:5962737
DOI10.1007/S11222-013-9429-XzbMATH Open1331.65023DBLPjournals/sac/VergeDMM15arXiv1306.3911OpenAlexW1983212629WikidataQ55951934 ScholiaQ55951934MaRDI QIDQ5962737
Author name not available (Why is that?)
Publication date: 23 February 2016
Published in: (Search for Journal in Brave)
Abstract: The approximation of the Feynman-Kac semigroups by systems of interacting particles is a very active research field, with applications in many different areas. In this paper, we study the parallelization of such approximations. The total population of particles is divided into sub-populations, referred to as emph{islands}. The particles within each island follow the usual selection / mutation dynamics. We show that the evolution of each island is also driven by a Feynman-Kac semigroup, whose transition and potential can be explicitly related to ones of the original problem. Therefore, the same genetic type approximation of the Feynman-Kac semi-group may be used at the island level; each island might undergo selection / mutation algorithm. We investigate the impact of the population size within each island and the number of islands, and study different type of interactions. We find conditions under which introducing interactions between islands is beneficial. The theoretical results are supported by some Monte Carlo experiments.
Full work available at URL: https://arxiv.org/abs/1306.3911
No records found.
No records found.
This page was built for publication: On parallel implementation of sequential Monte Carlo methods: the island particle model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5962737)
