inria-00238398, version 3
A Mean Field Theory of Nonlinear Filtering
Pierre Del Moral
1, 2Frédéric Patras
a, 3Sylvain Rubenthaler
a, 3
N° RR-6437 (2008)
Résumé : We present a mean field particle theory for the numerical approximation of Feynman-Kac path integrals in the context of nonlinear filtering. We show that the conditional distribution of the signal paths given a series of noisy and partial observation data is approximated by the occupation measure of a genealogical tree model associated with mean field interacting particle model. The complete historical model converges to the McKean distribution of the paths of a nonlinear Markov chain dictated by the mean field interpretation model. We review the stability properties and the asymptotic analysis of these interacting processes, including fluctuation theorems and large deviation principles. We also present an original Laurent type and algebraic tree-based integral representations of particle block distributions. These sharp and non asymptotic propagations of chaos properties seem to be the first result of this type for mean field and interacting particle systems.
- a – Université de Nice Sophia-Antipolis
- 1 : Institut de Mathématiques de Bordeaux (IMB)
- CNRS : UMR5251 – Université Sciences et Technologies - Bordeaux I – Université Victor Segalen - Bordeaux II
- 2 : ALEA (INRIA Bordeaux - Sud-Ouest)
- INRIA – Université de Bordeaux – CNRS : UMR5251
- 3 : Laboratoire Jean Alexandre Dieudonné (JAD)
- CNRS : UMR6621 – Université de Nice Sophia Antipolis (UNS)
- Domaine : Mathématiques/Probabilités
- Mots-clés : Feynman-Kac measures – nonlinear filtering – interacting particle systems – historical and genealogical tree models – central limit theorems – Gaussian fields – propagations of chaos – trees and forests – combinatorial enumeration
- Référence interne : RR-6437
- Versions disponibles : v1 (04-02-2008) v2 (04-02-2008) v3 (05-02-2008)
- inria-00238398, version 3
- http://hal.inria.fr/inria-00238398
- oai:hal.inria.fr:inria-00238398
- Contributeur : Pierre Del Moral
- Soumis le : Mardi 5 Février 2008, 11:32:09
- Dernière modification le : Lundi 13 Avril 2009, 19:08:49






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