INTERACTING MARKOV CHAIN MONTE CARLO METHODS FOR SOLVING NONLINEAR MEASURE-VALUED EQUATIONS
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...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2010
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| Summary: | 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. © Institute of Mathematical Statistics, 2010. |
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