Convergence Properties of Weighted Particle Islands with Application to the Double Bootstrap Algorithm

Pierre Del Moral,Jimmy Olsson,Christelle Vergé,Eric Moulines

doi:10.1287/15-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.

Highlights

This paper discusses approaches to parallelization of sequential Monte Carlo (SMC) methods approximating normalized Feynman-Kac distribution flows
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

Summary

Stochastic Systems

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DOUBLE BOOTSTRAP ALGORITHM

Introduction

MN lim sup P

CMN exp