On particle Gibbs samplers

Abstract : This article analyses a new class of advanced particle Markov chain Monte Carlo algorithms recently introduced by Andrieu, Doucet, and Holenstein (2010). We present a natural interpretation of these methods in terms of well known unbiasedness properties of Feynman-Kac particle measures, and a new duality with Feynman-Kac models. This perspective sheds new light on the foundations and the mathematical analysis of this class of methods. A key consequence is their equivalence with the Gibbs sampling of a (many-body) Feynman-Kac target distribution. Our approach also presents a new stochastic differential calculus based on geometric combinatorial techniques to derive non-asymptotic Taylor type series for the semigroup of a class of particle Markov chain Monte Carlo models around their invariant measures with respect to the population size of the auxiliary particle sampler. These results provide sharp quantitative estimates of the convergence rate of the models with respect to the time horizon and the size of the systems. We illustrate the direct implication of these results with sharp estimates of the contraction coefficient and the Lyapunov exponent of the corresponding samplers, and explicit and non-asymptotic L p -mean error decompositions of the law of the random states around the limiting invariant measure. The abstract framework developed in the article also allows the design of natural extensions to island (also called SMC 2 ) type particle methodologies. We illustrate this general framework and results in the context of nonlinear filtering, hidden Markov chain problems with fixed unknown parameters, and Feynman-Kac path- integration models arising in computational physics and chemistry.
Type de document :
Article dans une revue
Annales de l'IHP - Probabilités et Statistiques, 2016
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https://hal.archives-ouvertes.fr/hal-01312953
Contributeur : Patras Frédéric <>
Soumis le : lundi 9 mai 2016 - 12:25:29
Dernière modification le : vendredi 3 février 2017 - 01:06:39

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  • HAL Id : hal-01312953, version 1

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Pierre Del Moral, Robert Kohn, Frédéric Patras. On particle Gibbs samplers. Annales de l'IHP - Probabilités et Statistiques, 2016. <hal-01312953>

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