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Preprints, Working Papers, ... Year : 2012

Non-Asymptotic Analysis of Adaptive and Annealed Feynman-Kac Particle Models

Abstract

Sequential and Quantum Monte Carlo methods, as well as genetic type search algorithms can be interpreted as a mean field and interacting particle approximations of Feynman-Kac models in distribution spaces. The performance of these population Monte Carlo algorithms is strongly related to the stability properties of nonlinear Feynman-Kac semigroups. In this paper, we analyze these models in terms of Dobrushin ergodic coefficients of the reference Markov transitions and the oscillations of the potential functions. Sufficient conditions for uniform concentration inequalities w.r.t. time are expressed explicitly in terms of these two quantities. We provide an original perturbation analysis that applies to annealed and adaptive FK models, yielding what seems to be the first results of this kind for these type of models. Special attention is devoted to the particular case of Boltzmann-Gibbs measures' sampling. In this context, we design an explicit way of tuning the number of Markov Chain Monte Carlo iterations with temperature schedule. We also propose and analyze an alternative interacting particle method based on an adaptive strategy to define the temperature increments.

Dates and versions

hal-00735690 , version 1 (26-09-2012)

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François Giraud, Pierre del Moral. Non-Asymptotic Analysis of Adaptive and Annealed Feynman-Kac Particle Models. 2012. ⟨hal-00735690⟩
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