Abstract
The iterated conditional sequential Monte Carlo (i-CSMC) algorithm from Andrieu, Doucet and Holenstein (J. R. Stat. Soc. Ser. B Stat. Methodol. 72 (2010) 269–342) is an MCMC approach for efficiently sampling from the joint posterior distribution of the T latent states in challenging time-series models, for example, in nonlinear or non-Gaussian state-space models. It is also the main ingredient in particle Gibbs samplers which infer unknown model parameters alongside the latent states. In this work, we first prove that the i-CSMC algorithm suffers from a curse of dimension in the dimension of the states, D: it breaks down unless the number of samples (‘particles’), N, proposed by the algorithm grows exponentially with D. Then we present a novel ‘local’ version of the algorithm which proposes particles using Gaussian random-walk moves that are suitably scaled with D. We prove that this iterated random-walk conditional sequential Monte Carlo (i-RW-CSMC) algorithm avoids the curse of dimension: for arbitrary N, its acceptance rates and expected squared jumping distance converge to nontrivial limits as . If , our proposed algorithm reduces to a Metropolis–Hastings or Barker’s algorithm with Gaussian random-walk moves and we recover the well-known scaling limits for such algorithms.
Funding Statement
The authors acknowledge support from the Singapore Ministry of Education Tier 2 (MOE2016-T2-2-135) and a Young Investigator Award Grant (NUSYIA FY16 P16; R-155-000-180-133).
Acknowledgments
The first author would like to thank Arnaud Doucet for insightful discussions which led to this research.
Citation
Axel Finke. Alexandre H. Thiery. "Conditional sequential Monte Carlo in high dimensions." Ann. Statist. 51 (2) 437 - 463, April 2023. https://doi.org/10.1214/22-AOS2252
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