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A sequential particle algorithm that keeps the particle system alive

François Le Gland 1 Nadia Oudjane 2, 3
1 ASPI - Applications of interacting particle systems to statistics
UR1 - Université de Rennes 1, Inria Rennes – Bretagne Atlantique , CNRS - Centre National de la Recherche Scientifique : UMR6074
Abstract : We consider the problem of approximating a nonlinear (unnormalized) Feynman-Kac flow, in the special case where the selection functions can take the zero value. We begin with a list of several important practical situations where this characteristics is present. We study next a sequential particle algorithm, proposed by Oudjane (2000), which guarantees that the particle system does not die. Among other results, we obtain a central limit theorem which relies on the result of Rényi (1957) for the sum of a random number of independent random variables.
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https://hal.inria.fr/hal-00912080
Contributor : Francois Le Gland <>
Submitted on : Sunday, December 1, 2013 - 11:13:30 PM
Last modification on : Wednesday, April 28, 2021 - 9:44:54 PM

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  • HAL Id : hal-00912080, version 1

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François Le Gland, Nadia Oudjane. A sequential particle algorithm that keeps the particle system alive. Proceedings of the 13th European Signal Processing Conference, Antalya 2005, EURASIP, Sep 2005, Antalya, Turkey. pp.902-905. ⟨hal-00912080⟩

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