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2016 Convergence properties of weighted particle islands with application to the double bootstrap algorithm
Pierre Del Moral, Eric Moulines, Jimmy Olsson, Christelle Vergé
Stoch. Syst. 6(2): 367-419 (2016). DOI: 10.1214/15-SSY190

Abstract

Particle island models [31] provide a means of parallelization of sequential Monte Carlo methods, and in this paper we present novel convergence results for algorithms of this sort. In particular we establish a central limit theorem—as the number of islands and the common size of the islands tend jointly to infinity—of the double bootstrap algorithm with possibly adaptive selection on the island level. For this purpose we introduce a notion of archipelagos of weighted islands and find conditions under which a set of convergence properties are preserved by different operations on such archipelagos. This theory allows arbitrary compositions of these operations to be straightforwardly analyzed, providing a very flexible framework covering the double bootstrap algorithm as a special case. Finally, we establish the long-term numerical stability of the double bootstrap algorithm by bounding its asymptotic variance under weak and easily checked assumptions satisfied typically for models with non-compact state space.

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Pierre Del Moral. Eric Moulines. Jimmy Olsson. Christelle Vergé. "Convergence properties of weighted particle islands with application to the double bootstrap algorithm." Stoch. Syst. 6 (2) 367 - 419, 2016. https://doi.org/10.1214/15-SSY190

Information

Received: 1 June 2015; Published: 2016
First available in Project Euclid: 22 March 2017

zbMATH: 1381.60069
MathSciNet: MR3633539
Digital Object Identifier: 10.1214/15-SSY190

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Vol.6 • No. 2 • 2016
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