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4 results on '"Department of Statistics [Vancouver] (UBC Statistics)"'

1. Fluctuations of Interacting Markov Chain Monte Carlo Models

Author

Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud, Institut de Mathématiques de Bordeaux (IMB), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS), Quality control and dynamic reliability (CQFD), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Inria Bordeaux - Sud-Ouest, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), Advanced Learning Evolutionary Algorithms (ALEA), Inria Bordeaux - Sud-Ouest, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université de Bordeaux (UB)-Centre National de la Recherche Scientifique (CNRS), Dept of Statistics & Dept of Computer Science, University of British Columbia (UBC), Department of Statistics [Vancouver] (UBC Statistics), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS), and Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Inria Bordeaux - Sud-Ouest

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], 47H20, 60G35, 60J85, 62G09, 47D08, 47G10, 62L20
Abstract

International audience; We present a functional central limit theorem for a general class of interacting Markov chain Monte Carlo interpretations of discrete generation measure-valued equations. The path space models associated with these stochastic processes belong to the class of nonlinear Markov chains interacting with their empirical occupation measures. We develop an original theoretical analysis based on resolvent operators and semigroup techniques to analyze the fluctuation of their occupation measures around their limiting value. We also present a set of simple regularity conditions that applies to interacting Markov chain Monte Carlo models on path spaces, yielding what seems to be the first fluctuation theorems for this class of self-interacting models.

Published
2012

2. On Adaptive Resampling Procedures for Sequential Monte Carlo Methods

Author

Del Moral, Pierre, Doucet, Arnaud, Jasra, Ajay, Institut de Mathématiques de Bordeaux (IMB), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS), Advanced Learning Evolutionary Algorithms (ALEA), Inria Bordeaux - Sud-Ouest, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université de Bordeaux (UB)-Centre National de la Recherche Scientifique (CNRS), Dept of Statistics & Dept of Computer Science, University of British Columbia (UBC), Department of Statistics [Vancouver] (UBC Statistics), Department of Computing [London], Biomedical Image Analysis Group [London] (BioMedIA), Imperial College London-Imperial College London, and Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], 65C05, 60G35, 60J85, 62G09, 47D08, 47G10, 62L20
Abstract

International audience; Sequential Monte Carlo (SMC) methods are a general class of techniques to sample approximately from any sequence of probability distributions. These distributions are approximated by a cloud of weighted samples which are propagated over time using a combination of importance sampling and resampling steps. This article is concerned with the convergence analysis of a class of SMC methods where the times at which resampling occurs are computed on-line using criteria such as the effective sample size. This is a popular approach amongst practitioners but there are very few convergence results available for these methods. It is shown here that these SMC algorithms correspond to a particle approximation of a Feynman-Kac flow of measures on adaptive excursion spaces. By combining a non-linear distribution flow analysis to an original coupling technique, we obtain functional central limit theorems and uniform exponential concentration estimates for these algorithms. The original exponential concentration theorems presented in this study significantly improve previous concentration estimates obtained for SMC algorithms.

Published
2012
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3. Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations

Author

Pierre Del Moral, Arnaud Doucet, Institut de Mathématiques de Bordeaux (IMB), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS), Advanced Learning Evolutionary Algorithms (ALEA), Inria Bordeaux - Sud-Ouest, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université de Bordeaux (UB)-Centre National de la Recherche Scientifique (CNRS), Department of Statistics [Vancouver] (UBC Statistics), University of British Columbia (UBC), Dept of Statistics & Dept of Computer Science, and Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)

Subjects
Statistics and Probability, Uniform convergence, Feynman–Kac formulae, Markov chain Monte Carlo methods, Metropolis-Hastings algorithm, sequential Monte Carlo, 01 natural sciences, Measure (mathematics), 010104 statistics & probability, symbols.namesake, 62G09, Metropolis–Hastings algorithm, FOS: Mathematics, Applied mathematics, 60J85, 62L20, 0101 mathematics, self-interacting processes, 47H20, Mathematics, Probability measure, Sequence, Markov chain, 47D08, Stochastic process, Probability (math.PR), 010102 general mathematics, 60G35, 47G10, Markov chain Monte Carlo, 16. Peace & justice, Feynman-Kac formulae, time-inhomogeneous Markov chains, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Nonlinear system, symbols, sequential Monte Carlo methods, Statistics, Probability and Uncertainty, Mathematics - Probability
Abstract

We present a new class of interacting Markov chain Monte Carlo algorithms for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of self-interacting Markov chains. In contrast to traditional Markov chains, their time evolutions depend on the occupation measure of their past values. This general methodology allows us to provide a natural way to sample from a sequence of target probability measures of increasing complexity. We develop an original theoretical analysis to analyze the behavior of these iterative algorithms which relies on measure-valued processes and semigroup techniques. We establish a variety of convergence results including exponential estimates and a uniform convergence theorem with respect to the number of target distributions. We also illustrate these algorithms in the context of Feynman-Kac distribution flows., Comment: Published in at http://dx.doi.org/10.1214/09-AAP628 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Published
2010
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4. A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Models

Author

Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud, Institut de Mathématiques de Bordeaux (IMB), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS), Quality control and dynamic reliability (CQFD), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Inria Bordeaux - Sud-Ouest, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), Advanced Learning Evolutionary Algorithms (ALEA), Inria Bordeaux - Sud-Ouest, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université de Bordeaux (UB)-Centre National de la Recherche Scientifique (CNRS), Dept of Statistics & Dept of Computer Science, University of British Columbia (UBC), Department of Statistics [Vancouver] (UBC Statistics), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS), and Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Inria Bordeaux - Sud-Ouest

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], martingale limit theorems, random fields, Markov chain Monte Carlo models, 47H20, 60G35, 60J85, 62G09, 47D08, 47G10, 62L20, Multivariate and functional central limit theorems, and Feynman-Kac integrals, self-interacting Markov chains
Abstract

International audience; We present a functional central limit theorem for a new class of interaction Markov chain Monte Carlo interpretations of discrete generation measure valued equations. We provide an original stochastic analysis based on semigroup techniques on distribution spaces and fluctuation theorems for self-interaction random fields. Besides the fluctuation analysis of these models, we also present a series of sharp $\LL_m$-mean error bounds in terms of the semigroup associated with the first order expansion of the limiting measure valued process, yielding what seems to be the first results of this type for this class of interacting processes. We illustrate these results in the context of Feynman-Kac integration semigroups arising in physics, biology and stochastic engineering science.

Published
2009

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