Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition

DOI10.1016/j.spl.2008.05.023zbMath1319.60044OpenAlexW2016349065MaRDI QIDQ956395

Arnaud Doucet, Ajay Jasra

Publication date: 25 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.05.023

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic approximation (62L20) Sequential estimation (62L12)

Related Items (6)

On the stability of positive semigroups ⋮ Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods ⋮ Error bounds for sequential Monte Carlo samplers for multimodal distributions ⋮ An efficient computational approach for prior sensitivity analysis and cross‐validation ⋮ Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions ⋮ On sequential Monte Carlo, partial rejection control and approximate Bayesian computation

Cites Work

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• Markov chains and stochastic stability
• Quantitative bounds on convergence of time-inhomogeneous Markov chains
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Sequential Monte Carlo Methods in Practice
• Sequential Monte Carlo Samplers
• Convergence of simulated annealing using Foster-Lyapunov criteria

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