- Volume 25, Number 1 (2019), 310-340.
Error bounds for sequential Monte Carlo samplers for multimodal distributions
In this paper, we provide bounds on the asymptotic variance for a class of sequential Monte Carlo (SMC) samplers designed for approximating multimodal distributions. Such methods combine standard SMC methods and Markov chain Monte Carlo (MCMC) kernels. Our bounds improve upon previous results, and unlike some earlier work, they also apply in the case when the MCMC kernels can move between the modes. We apply our results to the Potts model from statistical physics. In this case, the problem of sharp peaks is encountered. Earlier methods, such as parallel tempering, are only able to sample from it at an exponential (in an important parameter of the model) cost. We propose a sequence of interpolating distributions called interpolation to independence, and show that the SMC sampler based on it is able to sample from this target distribution at a polynomial cost. We believe that our method is generally applicable to many other distributions as well.
Bernoulli, Volume 25, Number 1 (2019), 310-340.
Received: February 2017
Revised: July 2017
First available in Project Euclid: 12 December 2018
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Paulin, Daniel; Jasra, Ajay; Thiery, Alexandre. Error bounds for sequential Monte Carlo samplers for multimodal distributions. Bernoulli 25 (2019), no. 1, 310--340. doi:10.3150/17-BEJ988. https://projecteuclid.org/euclid.bj/1544605248
- Supplement to “Error bounds for sequential Monte Carlo samplers for multimodal distributions”. Some technical proofs from the paper are given here.